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Estimation of long-run parameters in unbalanced cointegration
(Elsevier, 2014)
Artículo / Artikulua,
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
(2012)
Documento de trabajo / Lan gaiak,
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 ...
A simple test for the equality of integration orders
(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
(Wiley, 2015)
info:eu-repo/semantics/article,
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 ...
Revisiting inflation in the euro area allowing for long memory
(Elsevier, 2017)
info:eu-repo/semantics/article,
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 ...
Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes
(Elsevier, 2017)
info:eu-repo/semantics/article,
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 ...