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Essays on fractional filters and co-integration
Carlini, Federico - 2017
Persistent link: https://www.econbiz.de/10011818419
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On the identification of fractionally cointegrated VAR models with the F(d) condition
Carlini, Federico; Santucci de Magistris, Paolo - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 134-146
Persistent link: https://www.econbiz.de/10012176555
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Likelihood based inference for an identifiable fractional vector error correction model
Carlini, Federico; Łasak, Katarzyna - 2018
We consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than the models proposed in Granger (1986) and Johansen (2008, 2009). In particular, we discuss the properties of the model of Avarucci (2007) (FECM) in...
Persistent link: https://www.econbiz.de/10011928312
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On the identification of fractionally cointegrated VAR models with the F(d) condition
Santucci de Magistris, Paolo; Carlini, Federico - 2014
Persistent link: https://www.econbiz.de/10010433250
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On an estimation method for an alternative fractionally cointegrated model
Carlini, Federico; Łasak, Katarzyna - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10010348412
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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
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On the identification of fractionally cointegrated VAR models with the F(d) condition
Carlini, Federico; Santucci de Magistris, Paolo - 2013
Persistent link: https://www.econbiz.de/10010226857
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Likelihood Based Inference for an Identifiable Fractional Vector Error Correction Model
Carlini, Federico - 2018
We consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than the models proposed in Granger (1986) and Johansen (2008, 2009). In particular, we discuss the properties of the model of Avarucci (2007) (FECM) in...
Persistent link: https://www.econbiz.de/10012907879
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Climate, wind energy, and CO2 emissions from energy production in Denmark
Carlini, Federico; Christensen, Bent Jesper; Gupta, … - In: Energy economics 125 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014484367
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On an Estimation Method for an Alternative Fractionally Cointegrated Model
Carlini, Federico; Lasak, Katarzyna - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10014146014