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Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard - 2009
Persistent link: https://www.econbiz.de/10003849417
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Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard - 2014
Persistent link: https://www.econbiz.de/10010413826
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Asset market perspectives on the Israeli-Palestinian conflict
Zussman, Asaf; Zussman, Noam; Nielsen, Morten Ørregaard - 2006
Persistent link: https://www.econbiz.de/10003283796
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Efficient likelihood ratio tests for seasonal unit roots
Jansson, Michael; Nielsen, Morten Ørregaard - 2009
Persistent link: https://www.econbiz.de/10003903502
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A necessary moment condition for the fractional functional central limit theorem
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10008665552
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Likelihood inference for a fractionally conitegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968441
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968607
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Likelihood inference for a nonstationary fractional autoregressive model
Johansen, Søren (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003571225
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10008651639
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Fully modified Narrow-band least squares estimation of weak fractional cointegration
Nielsen, Morten Ørregaard; Frederiksen, Per - 2010
Persistent link: https://www.econbiz.de/10008651771