Listar por tema "Fractional cointegration"
Mostrando ítems 1-3 de 3
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Fixed bandwidth inference for fractional cointegration
Hualde Bilbao, Javier
; Iacone, Fabrizio (Wiley, 2019)
Artículo / Artikulua 
In a fractional cointegration setting we derive the fixed bandwidth limiting theory of a class of estimators of the cointegrating parameter which are constructed as ratios of weighted periodogram averages. These estimators ... -
A simple test for the equality of integration orders
Hualde Bilbao, Javier (2012)
Documento de trabajo / Lan gaiak
A necessary condition for two time series to be nontrivially cointegrated is the equality of their respective integration orders. Thus, it is standard practice to test for order homogeneity prior to testing for cointegration. ... -
Small‐b and fixed‐b asymptotics for weighted covariance estimation in fractional cointegration
Hualde Bilbao, Javier ; Iacone, Fabrizio (Wiley, 2015)
Artículo / Artikulua
In a standard cointegrating framework, Phillips (1991) introduced the weighted covariance (WC) estimator of cointegrating parameters. Later, Marinucci (2000) applied this estimator to fractional circumstances and, like ...
