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Finite sample performance in cointegration analysis of nonlinear time series with long memory
Gonçalves da Silva, Afonso (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003327199
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Instrumental variables estimation of stationary and nonstationary cointegrating regressions
Robinson, Peter M. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003327205
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Instrumental variables estimation of stationary and non-stationary cointegrating regressions
Robinson, Peter M.; Gerolimetto, Margherita - In: The econometrics journal 9 (2006) 2, pp. 291-306
Persistent link: https://www.econbiz.de/10003352040
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Semiparametric estimation of fractional cointegration
Hualdea, J. (contributor); Robinson, Peter M. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003332015
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Semiparametric inference in multivariate fractionally cointegrated systems
Hualde, J.; Robinson, Peter M. - In: Journal of econometrics 157 (2010) 2, pp. 492-511
Persistent link: https://www.econbiz.de/10008662973
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Fractional cointegration in stochastic volatility models
Silva, Afonso Gonçalves da (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003492513
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Multiple local whittle estimation in stationary systems
Robinson, Peter M. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003563503
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Root-n-consistent estimation of weak fractional cointegration
Hualde, J.; Robinson, Peter M. - In: Journal of econometrics 140 (2007) 2, pp. 450-484
Persistent link: https://www.econbiz.de/10003569882
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Diagnostic testing for cointegration
Robinson, Peter M. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003535630
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Fractional cointegration in stochastic volatility models
Silva, Afonso Gonçalves da; Robinson, Peter M. - In: Econometric theory 24 (2008) 5, pp. 1207-1253
Persistent link: https://www.econbiz.de/10003748745