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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

A Matlab program and user's guide for the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014

This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the …

Persistent link: https://www.econbiz.de/10010418272

A simple estimator of cointegrating vectors in higher order integrated systems

Stock, James H. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 783-820

Persistent link: https://www.econbiz.de/10001147143

Testing for deterministic and stochastic cycles in macroeconomic time series

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Empirica : journal of european economics 34 (2007) 2, pp. 155-169

Persistent link: https://www.econbiz.de/10003441948

A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - 2000

In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...

Persistent link: https://www.econbiz.de/10009611543