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Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Valasco, Carlos - In: Journal of econometrics 130 (2006) 1, pp. 165-207

Persistent link: https://www.econbiz.de/10003228637

The correlogram of a long memory process plus a simple noise

Granger, C. W. J.; Mármol, Francesc - 1997

Persistent link: https://www.econbiz.de/10000978188

Nonsense regressions between integrated processes of different orders

Mármol, Francesc - 1994

Persistent link: https://www.econbiz.de/10000902087

Fractional cointegrating regression in the presence of linear time trends

Hassler, Uwe; Mármol, Francesc - 1998

Persistent link: https://www.econbiz.de/10000982033

On the properties of the Dickey-Pantula test against fractional alternatives

Dolado, Juan J. - In: Economics letters 57 (1997) 1, pp. 11-16

Persistent link: https://www.econbiz.de/10001229602

A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models

Mármol, Francesc; Pérez, Ana; Reboredo, Juan Carlos - In: Anales de estudios económicos y empresariales 18 (2008), pp. 69-89

Persistent link: https://www.econbiz.de/10009538335

Residual log-periodogram inference for long-run relationships

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

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

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