Similar Search Results - EconBiz

A nonparametric test for I (0)

Lobato, Ignacio N.; Robinson, Peter M. - 1997

Persistent link: https://www.econbiz.de/10000978039

Identification and estimation of structural VARMA models using higher order dynamics

Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 819-832

Persistent link: https://www.econbiz.de/10014448441

Residual Log-Periodogram Inference for Long-Run Relationships

Hassler, Uwe; Marmol, Francesc; Velasco, Carlos - 2002

We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...

Persistent link: https://www.econbiz.de/10010323712

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...

Persistent link: https://www.econbiz.de/10011524765

Inference on trending panel data

Robinson, Peter M.; Velasco, Carlos - In: Journal of econometrics 206 (2018) 2, pp. 282-304

Persistent link: https://www.econbiz.de/10012110387

Estimation of fractionally integrated panels with fixed effects and cross-section dependence

Ergemen, Yunus Emre; Velasco, Carlos - In: Journal of econometrics 196 (2017) 2, pp. 248-258

Persistent link: https://www.econbiz.de/10011818289

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

Persistent link: https://www.econbiz.de/10001751669

Edgeworth expansions for spectral density estimates and studentized sample mean

Velasco, Carlos; Robinson, Peter M. - In: Econometric theory 17 (2001) 3, pp. 497-539

Persistent link: https://www.econbiz.de/10001589011

Edgeworth expansions for spectral density estimates and studentized sample mean

Velasco, Carlos; Robinson, Peter M. - 2000

Persistent link: https://www.econbiz.de/10001482790

Sign tests for long-memory time series

Delgado, Miguel A.; Velasco, Carlos - In: Journal of econometrics 128 (2005) 2, pp. 215-251

Persistent link: https://www.econbiz.de/10003091283

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