Cointegration in Fractional Systems with Unknown Integration Orders

By Peter M. Robinson, J. Hualde. 2003

153 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/80c33c9691f4075e38754a38e87c9bf1765eb251

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Citations in the corpus

Semiparametric inference in multivariate fractionally cointegrated systems (2010, unknown): “To describe our model, we introduce the following definitions corresponding to ones in Robinson and Hualde (2003) (hereafter RH).”
Nonparametric cointegration analysis of fractional systems with unknown integration orders (2010, background): “Hence, as argued recently by e.g. Robinson & Hualde (2003), if there is no strong a priori reason to pick any particular integration orders it is important to make only minimal assumptions on their values and possibly allow them to be estimated as part of the procedure.”
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, background): “…but theoretical analyses of fractional cointegration are emerging, e.g. Breitung and Hassler (2002), Chen and Hurvich (2003a, 2003b, 2004), Robinson and Hualde (2003), Robinson and Marinucci (2003), Velasco (2003a, 2003b), Dolado and Marmol (2004), Nielsen (2004b), Christensen and Nielsen…”
Identifying Cointegration by Eigenanalysis (2015, background): “Fractional cointegration has attracted increasing attention in recent years, see, for example, Robinson and Hualde (2003), Chen andHurvich (2006), and Robinson (2008).”
Root-N-Consistent Estimation of Weak Fractional Cointegration (2006, unknown): “Remark 4.4 One approach, suggested in Robinson and Hualde (2000) when β > 1/2, is the use of residuals from LSE or NBLSE estimates of ν in the estimation of γ.”
Long memory time series (2003, unknown): “Jeganathan (1999), Robinson and Hualde (2000) have provided extensions of these results to parametric fractional models, gaining convergence rates than for some parameter combinations are faster than those of OLS and NBLS; some early empirical study of fractional cointegration is in Cheung and Lai…”
Gaussian pseudo-maximum likelihood estimation of fractional time series models (2011, unknown): “δ0 −δ1 +1)−bj,n(δ0 −δ2 +1)) 2 = σ2 0(δ1 −δ2)2 n nX−1 j=0 (a′ j(δ0 −δ+1)−aj(δ0 −δ+1)logn)2 n2(δ0−δ) by the mean value theorem, where δ=δn is an intermediate point between δ1 and δ2. As in Lemma D.1 of [22], a′ j(δ0 −δ+1)−aj(δ0 −δ+1)logn =(ψ(j+δ0 −δ+1)−ψ(δ0 −δ+1)−logn)aj(δ0 −δ+1). Now (2.47) holds on ”
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (2006, methodology): “Fractional cointegration analysis has been carried out by Cheung & Lai (1993), Baillie & Bollerslev (1994), Dolado & Marmol (1996), Dueker & Startz (1998), and Robinson & Hualde (2003), among others, using parametric methods.”
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2010, background): “Only recently, asymptotically optimal inference procedures have been developed for fractional processes, e.g. Jeganathan (1999), Robinson and Hualde (2003), Lasak (2008, 2010), Avarucci and Velasco (2009), and Hualde and Robinson (2010).”
Estimation of fractionally integrated panels with fixed effects and cross-section dependence (2015, unknown): “This model can be seen as an extended version of the setup of Robinson and Hidalgo (1997) and Robinson and Hualde (2003) to panel data models and of Pesaran (2006) to nonstationary systems with possible cointegration among idiosyncratic components of observed variables, where endogeneity of…”