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Estimation of cointregrating vectors with time series measured at different periodicity

Pons Rotger, Gabriel; Sansó, Andreu - In: Econometric theory 21 (2005) 4, pp. 735-756

Persistent link: https://www.econbiz.de/10003004715

Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles

Rotger, Gabriel Pons - 2008

The effects of systematic sampling and temporal aggregation on the seasonal cycle model (see Miron, 1993) and the seasonally integrated process (see Hylleberg et al., 1990) are discussed. The temporal aggregation theory is used to improve the sequential test for monthly seasonal unit roots of...

Persistent link: https://www.econbiz.de/10014217232

Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis

Haldrup, Niels (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001776940

Testing for additive outliers in seasonally integrated time series

Haldrup, Niels (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002481059

Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high frequency

Christensen, Bent Jesper (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001599613

Semiparametric estimation in time series regression with long range dependence

Ørregaard Nielsen, Morten (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001712292

Multivariate lagrange multiplier tests for fractional integration

Ørregaard Nielsen, Morten (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001712293

Mortality and socio-economic differences in a competing risks model

Munch, Jacob Roland (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001543223

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