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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

Forecasting daily political opinion polls using the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2015

We examine forecasting performance of the recent fractionally cointegrated vector autoregressive (FCVAR) model. The model is applied to daily polling data of political support in the United Kingdom for 2010 - 2015. We compare with popular competing models and at various forecast horizons. Our...

Persistent link: https://www.econbiz.de/10011279787

Numerical distribution functions of fractional unit root and cointegration tests

MacKinnon, James G.; Nielsen, Morten Ørregaard - In: Journal of applied econometrics 29 (2014) 1, pp. 161-171

Persistent link: https://www.econbiz.de/10010414227

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …

Persistent link: https://www.econbiz.de/10010464770

Optimal residual-based tests for fractional cointegration and exchange rate dynamics

Nielsen, Morten Ørregaard - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 3, pp. 331-345

Persistent link: https://www.econbiz.de/10002135512

A vector error-correction forecasting model of the US economy

Anderson, Richard G.; Hoffman, Dennis L.; Rasche, Robert H. - In: Journal of macroeconomics 24 (2002) 4, pp. 569-598

Persistent link: https://www.econbiz.de/10001729047

Comments on: "A vector error-correction forecasting model of the US economy"

Swanson, Norman R. - In: Journal of macroeconomics 24 (2002) 4, pp. 599-606

Persistent link: https://www.econbiz.de/10001729049

Comments on: "A vector error-correction forecasting model of the US economy"

Lastrapes, William Dean - In: Journal of macroeconomics 24 (2002) 4, pp. 607-611

Persistent link: https://www.econbiz.de/10001729050

Reply to the comments on: "A vector error-correction forecasting model of the US economy"

Anderson, Richard G.; Hoffman, Dennis L.; Rasche, Robert H. - In: Journal of macroeconomics 24 (2002) 4, pp. 599-606

Persistent link: https://www.econbiz.de/10001729052

Optimal residual based tests for fractional cointegration and exchange rate dynamics

Nielsen, Morten Ørregaard (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001702310