Semiparametric inference in multivariate fractionally cointegrated systems

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Nonparametric Predictive Regression (2015, unknown): “Robinson and Hualde (2003), Marmol and Velasco (2004) and Hualde and Robinson (2010). Preliminary findings of the authors indicate that under certain conditions, Theorems 1 and 2 also hold when a stochastic bandwidth of the form ĥn = n −δ  m̂− (1)2  is utilized.3 We leave detailed theoretical expl”
Fully modified narrow‐band least squares estimation of weak fractional cointegration (2011, unknown): “In particular, we consider the model with dx − du 1/2 which is termed weak fractional cointegration in Hualde & Robinson (2010).”
Identifying Cointegration by Eigenanalysis (2015, background): “be formally defined as in Hualde and Robinson (2010), where B is the backshift operator.”