Showing 1 - 7 of 7
This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity. The setting is semiparametric, so that modelling is effectively confined to a...
Persistent link: https://www.econbiz.de/10010745024
We show that it is possible to adapt to nonparametric disturbance autocorrelation in time series regression in the presence of long memory in both regressors and disturbances by using a smoothed nonparametric spectrum estimate in frequency-domain generalized least squares. When the collective...
Persistent link: https://www.econbiz.de/10010745610
We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, and additive deterministic component consisting of a generalised polynomial. The model can thus incorporate competing...
Persistent link: https://www.econbiz.de/10010928700
Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series...
Persistent link: https://www.econbiz.de/10010744839
Persistent link: https://www.econbiz.de/10010745990
We consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial and generalized polynomial trends. In view of the consequent competition between stochastic and deterministic trends, we consider various estimates of the cointegrating vector...
Persistent link: https://www.econbiz.de/10010746344
Cointegrated bivariate nonstationary time series are considered in fractional context, without allowance for deterministic trends. Both the observable series and the cointegrating error can be fractional processes. The familiar situation in which the respective integration orders are 1 and 0 is...
Persistent link: https://www.econbiz.de/10011071264