Now showing items 1-7 of 7

    • Estimation of long-run parameters in unbalanced cointegration 

      Hualde Bilbao, Javier Upna (Elsevier, 2014)   Artículo / Artikulua  OpenAccess
      This paper analyses the asymptotic properties of nonlinear least squares estimators of the long run parameters in a bivariate unbalanced cointegration framework. Unbalanced cointegration refers to the situation where the ...
    • Estimation of the cointegrating rank in fractional cointegration 

      Hualde Bilbao, Javier Upna (2012)   Documento de trabajo / Lan gaiak  OpenAccess
      This paper proposes an estimator of the cointegrating rank of a potentially cointegrated multivariate fractional process. Our setting is very flexible, allowing the individual observable processes to have different integration ...
    • Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes 

      Hualde Bilbao, Javier Upna; Iacone, Fabrizio (Elsevier, 2017)   Artículo / Artikulua  OpenAccess
      We consider inference for the mean of a general stationary process based on standardizing the sample mean by a frequency domain estimator of the long run variance. Here, the main novelty is that we consider alternative ...
    • Fixed bandwidth inference for fractional cointegration 

      Hualde Bilbao, Javier Upna; Iacone, Fabrizio (Wiley, 2019)   Artículo / Artikulua  OpenAccess
      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 ...
    • Revisiting inflation in the euro area allowing for long memory 

      Hualde Bilbao, Javier Upna; Iacone, Fabrizio (Elsevier, 2017)   Artículo / Artikulua  OpenAccess
      We analyse inflation and inflation differentials in the euro area allowing for long memory and a new type of limiting theory denoted fixed-bandwidth. Our results differ from those based on standard normal asymptotics and ...
    • A simple test for the equality of integration orders 

      Hualde Bilbao, Javier Upna (2012)   Documento de trabajo / Lan gaiak  OpenAccess
      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 Upna; Iacone, Fabrizio (Wiley, 2015)   Artículo / Artikulua  OpenAccess
      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 ...