The distance between rival nonstationary fractional processes
By Peter M. Robinson. 2004
66 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/194f120a6947d2d40e7d66f9d30e290f236ff1bd
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Morten Ørregaard Nielsen
- Katsumi Shimotsu
- Boris Buchmann
- Ngai Hang Chan
- Peter C. B. Phillips
- L. Gil‐Alana
- Peter M. Robinson
- Zhongjun Qu
In Finance
- Morten Ørregaard Nielsen
- Katsumi Shimotsu
- Boris Buchmann
- Ngai Hang Chan
- Peter C. B. Phillips
- Peter M. Robinson
- L. Gil‐Alana
- Zhongjun Qu
In Mathematical Physics
Citations in the corpus
- Fully modified narrow‐band least squares estimation of weak fractional cointegration (2011, unknown): “In our model, either choice will lead to identical first order asymptotic results, see Robinson (2005).”
- Exact local Whittle estimation of fractionally cointegrated systems (2012, methodology): “Assumption 6 is used in Robinson (2005).”
- Semiparametric inference in multivariate fractionally cointegrated systems (2010, unknown): “In order to allow for nonstationarity , tapering can be employed, as proposed by Velasco (1999a,b)—he assumed Type I non-stationarity, but according to Robinson (2005) this does not affect convergence rates, at least.”
- Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence (2007, methodology): “It should be pointed out that there exist other methods for dealing with long memory models, notably the Whittle estimates, the tapered Whittle estimates and related semiparametric procedures that were discussed in Velasco and Robinson [29] and Robinson [24].”
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, methodology): “There are two main characterizations of fractional integration that have been employed in the literature, see e.g. Marinucci and Robinson (1999) and Robinson (2005).”