A model of fractional cointegration, and tests for cointegration using the bootstrap☆

By James Davidson. 2002

86 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9c6cb0eb3b7b62801d9a8d01f5d728f5d3807bac

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Citations in the corpus

Inference on the cointegration rank in fractionally integrated processes (2002, methodology): “One possibility to relax this assumption of known d might be to compute the test statistic with an estimated order d and use bootstrap critical values (see Davidson 2000 ).”
A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES (2008, methodology): “Model (1) has been applied by Davidson (2002) and Breitung and Hassler (2002).”
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2010, methodology): “The inspiration for model (2) comes from Granger (1986), who noted the special role of the fractional lag operator Lb = 1−∆b and suggested the model A∗(L)∆dXt = ∆ d−bLbαβ ′Xt−1 + d(L)εt, (4) see also Davidson (2002).”
Modelling structural breaks, long memory and stock market volatility: an overview (2005, methodology): “cointegrating vector and its parent series; Marinucci (2000) uses spectral regression to test for cointegrated time series with long-memory innovations; Davidson (2002) models cointegration in fractionally integrated processes and considers methods for testing the existence of cointegrating relation”
On the Robustness of Robustness Checks of the Environmental Kuznets Curve (2006, background): “Our updated list of overviews includes: Stern, Common, and Barbier (1996), Ekins (1997), Stern (1998), Stagl (1999), Panayotou (2000), de Bruyn (2000), Ekins (2000), Borghesi (2001), Dasgupta, Laplante, Wang, and Wheeler (2002), Levinson (2002), Harbaugh, Levinson, and Molloy Wilson (2002), Hill and”
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, methodology): “Table 4 about here In Table 4 the estimated eigenvalues of Ĝ(d̄∗) from (12) with Xat − b μa(b da) replacing Xat as well as the eigenvalues of the correlation matrix P̂ (d̄∗) = D̂(d̄∗)−1/2Ĝ(d̄∗)D̂(d̄∗)−1/2 are displayed for our exchange rate data.”
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (2008, unknown): “m=1 Cm 1 1 z=zm +H(z); 0 < jz zmj < ; m = 1; : : : ; n (8)”
Risk and return: Long-run relations, fractional cointegration, and return predictability $ (2013, result): “13 Note, the operator ð1ÀD d Þ involves only lags L j , j Z 1, with no L 0 term. semiparametric first-step estimation of d, this bootstrap approach closely mimics that of Davidson (2002).”