Efficient Inference in Multivariate Fractionally Integrated Time Series Models

2004

67 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/7eb8b40fb70b1cfccc525e69b48211a88ba2c0e5

Citations in the corpus

• A multivariate long-memory model with structural breaks (2009, unknown): “By contrast, the literature on multivariate models is rather limited: Gil-Alana [33,34] extends the univariate tests of Robinson [27] in the frequency domain, while Nielsen [35] proposes similar tests in the time domain.”