Narrow search
Showing 1 - 10 of 14
Cover Image
Fractional integration and cointegration
Haulde, Javier; Nielsen, Morten Ørregaard - 2021
Persistent link: https://www.econbiz.de/10012816374
Cover Image
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard; Seo, Wonk-ki; Seong, Dakyung - 2022
Persistent link: https://www.econbiz.de/10012816384
Cover Image
Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard - 2009
Persistent link: https://www.econbiz.de/10003849417
Cover Image
Likelihood inference for a fractionally conitegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968441
Cover Image
Testing for rational bubbles in a co-explosive vector autoregression
Engsted, Tom; Nielsen, Bent - 2010
Persistent link: https://www.econbiz.de/10003978304
Cover Image
Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10008651639
Cover Image
Fully modified Narrow-band least squares estimation of weak fractional cointegration
Nielsen, Morten Ørregaard; Frederiksen, Per - 2010
Persistent link: https://www.econbiz.de/10008651771
Cover Image
Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - 2012
Persistent link: https://www.econbiz.de/10009621930
Cover Image
The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
Persistent link: https://www.econbiz.de/10011524104
Cover Image
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
Persistent link: https://www.econbiz.de/10010394599