Listar Colecciones de Investigación y Producción Científica - Ikerketa eta ekoizpen zientifikoko Bildumak por autor UPNA "Hualde Bilbao, Javier"
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Estimation of long-run parameters in unbalanced cointegration
Hualde Bilbao, Javier
(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
Hualde Bilbao, Javier (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 ... -
Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes
Hualde Bilbao, Javier ; Iacone, Fabrizio (Elsevier, 2017)
Artículo / Artikulua
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 ; 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 ... -
Revisiting inflation in the euro area allowing for long memory
Hualde Bilbao, Javier ; Iacone, Fabrizio (Elsevier, 2017)
Artículo / Artikulua
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 (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 ... -
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde Bilbao, Javier ; Nielsen, Morten Ørregaard (Institute of Mathematical Statistics, 2022)
Artículo / Artikulua
We consider truncated (or conditional) sum-of-squares estimation of a parametric fractional time series model with an additive deterministic structure. The latter consists of both a drift term and a generalized power law ...
