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Fractional cointegration
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Long-range dependence
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Nonstationary processes
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band spectrum regression
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cointegration
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cointegration analysis
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least squares estimation
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long-range dependence
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narrow band leastsquares
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narrow-band estimation
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Marinucci, D
3
Robinson, Peter M
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Silva, Afonso Gonçalves da
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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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Fractional Cointegration In StochasticVolatility Models
Silva, Afonso Gonçalves da
;
Robinson, Peter M
-
Suntory and Toyota International Centres for Economics …
-
2007
cointegrating relationship can be recovered by suitable transformation ofthe data. We propose a narrow
band
semiparametric estimate …
Persistent link: https://www.econbiz.de/10005670799
Saved in:
2
Narrow-
Band
Analysis of Nonstationary Processes
Marinucci, D
;
Robinson, Peter M
-
Suntory and Toyota International Centres for Economics …
-
2001
asymptotically stationary one. The averaging takes place either over the whole frequency
band
, or over one that degenerates slowly to …
Persistent link: https://www.econbiz.de/10005310362
Saved in:
3
Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: Time Series with Long Memory (Oxford University Press).
Marinucci, D
;
Robinson, Peter M
-
Suntory and Toyota International Centres for Economics …
-
1998
scalar yt and vector xt , we consider a narrow-
band
frequency domain least squares estimate of yt on xt . This estimate is …
Persistent link: https://www.econbiz.de/10005310376
Saved in:
4
Band
Spectrum Regression for Cointegrated Time Series with Long Memory Innovations
Marinucci, D
-
Suntory and Toyota International Centres for Economics …
-
1998
Band
spectrum regression is considered for cointegrated time series with long memory innovations. The estimates we …
Persistent link: https://www.econbiz.de/10005670811
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