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Fractional integration and cointegration
Haulde, Javier; Nielsen, Morten Ørregaard - 2021
Persistent link: https://www.econbiz.de/10012816374
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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
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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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On a numerical and graphical technique for evaluating some models involving rational expectations
Johansen, Søren; Swensen, Anders Rygh - 2009
Persistent link: https://www.econbiz.de/10003849547
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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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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2011
Persistent link: https://www.econbiz.de/10008810484
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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
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Statistical analysis of global surface air temperature and sea level using cointegration methods
Schmith, Torben; Johansen, Søren; Thejll, Peter - 2011
Persistent link: https://www.econbiz.de/10009377358
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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