Similar Search Results - EconBiz

The power of residual-based tests for cointegration when residuals are fractionally integrated

Krämer, Walter; Mármol, Francesc - 1998

Persistent link: https://www.econbiz.de/10010438727

OLS-based asymptotic inference in linear regression models with trending regressors and AR(p)-disturbances

Krämer, Walter; Mármol, Francesc - 1998

We show that OLS and GLS are asymptotically equivalent in the linear regression model with AR (p) disturbances and a wide range of trending regressors_ and that OLS based statistical inference is still meaningful after proper adjustment of the test statistics.

Persistent link: https://www.econbiz.de/10010438767

Asymptotic inference results for multivariate long-memory processes

Dolado, Juan J.; Mármol, Francesc - In: The econometrics journal 7 (2004) 1, pp. 168-190

Persistent link: https://www.econbiz.de/10002121999

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

Consistent testing of cointegrating relationships

Mármol, Francesc; Velasco, Carlos - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 6, pp. 1809-1844

Persistent link: https://www.econbiz.de/10002435500

Out-of-sample forecast errors in misspecific perturbed long memory processes

Arranz, Miguel A.; Mármol, Francesc - In: Statistical papers 42 (2001) 4, pp. 423-436

Persistent link: https://www.econbiz.de/10001615626

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

The power of residual-based tests for cointegration when residuals are fractionally integrated

Krämer, Walter; Mármol, Francesc - In: Economics letters 82 (2004) 1, pp. 63-69

Persistent link: https://www.econbiz.de/10001877554

Spurious regression theory with nonstationary fractionally integrated processes

Mármol, Francesc - In: Journal of econometrics 84 (1998) 2, pp. 233-250

Persistent link: https://www.econbiz.de/10001241548

Correlation theory of spuriously related higher order integrated processes

Mármol, Francesc - In: Economics letters 50 (1996) 2, pp. 169-173

Persistent link: https://www.econbiz.de/10001194695

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