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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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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
Persistent link: https://www.econbiz.de/10011524104
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Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2018
Persistent link: https://www.econbiz.de/10011864979
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Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadim, Sepideh; Narayan, Kumar Paresh; Nielsen, … - 2018
Persistent link: https://www.econbiz.de/10011946486
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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
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A fractionally cointegrated VAR analysis of economic voting and political support
Jones, Maggie E. C.; Nielsen, Morten Ørregaard; … - 2014
Persistent link: https://www.econbiz.de/10010394610
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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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Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard - 2009
Persistent link: https://www.econbiz.de/10003849417