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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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An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu; Bohn Nielsen, Heino; Rahbek, Anders - 2009
Persistent link: https://www.econbiz.de/10003863153
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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181
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Testing and inference in nonlinear cointegrating vector error correction models
Kristensen, Dennis; Rahbek, Anders - 2010
Persistent link: https://www.econbiz.de/10008663980
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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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Medium band least squares estimation of fractional cointegration in the presence of low-requency contamination
Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - 2015
Persistent link: https://www.econbiz.de/10010529447
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Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin; Teräsvirta, Timo - 2013
Persistent link: https://www.econbiz.de/10009751844
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Fractional cointegration rank estimation
Lasak, Katarzyna; Velasco, Carlos - 2013
Persistent link: https://www.econbiz.de/10009719162
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On an estimation method for an alternative fractionally cointegrated model
Carlini, Federico; Łasak, Katarzyna - 2014
Persistent link: https://www.econbiz.de/10010350966