Results 11 to 20 of about 5,076 (206)
Fractional cointegration in US term spreads [PDF]
Applied Economics Letters, 2010 This note examines the stochastic properties of US term spreads with parametric and semiparametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis,
Caporale, GM, Gil-Alana, LA
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Semiparametric Fractional Cointegration Analysis [PDF]
Journal of Econometrics, 2001 Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. We study a narrow-band frequency domain least squares estimate of the cointegrating vector, and related semiparametric methods of inference ...
D Marinucci, Peter M Robinson
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Gaussian semi-parametric estimation of fractional cointegration [PDF]
Journal of Time Series Analysis, 2003 We analyse consistent estimation of the memory parameters of a nonstationary fractionally cointegrated vector time series. Assuming that the cointegrating relationship has substantially less memory than the observed series, we show that a multi-variate ...
Velasco, Carlos
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Semiparametric Estimation of Fractional Cointegration [PDF]
, 2006 A semiparametric bivariate fractionally cointegrated system is considered, integrationorders possibly being unknown and I (0) unobservable inputs having nonparametricspectral density. Two kinds of estimate of the cointegrating parameter ?
Javier Hualde, Peter M Robinson
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Determination of Cointegrating Rank in Fractional Systems [PDF]
Journal of Econometrics, 2002 This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity.
Peter M Robinson, Yoshihiro Yajima
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Fractional Integration and Cointegration [PDF]
, 2023 Fractionally integrated and fractionally cointegrated time series are classes of models that generalize standard notions of integrated and cointegrated time series. The fractional models are characterized by a small number of memory parameters that control the degree of fractional integration and/or cointegration.
Hualde, Javier +1 more
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Nonstationary Cointegration in the Fractionally Cointegrated VAR Model [PDF]
SSRN Electronic Journal, 2018 We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that when the parameter space is larger, stronger moment ...
Johansen, Søren +1 more
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Fractional Cointegration Rank Estimation [PDF]
Journal of Business & Economic Statistics, 2014 We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for furtherlong-run equilibrium relations with possibly different persistence levels.
Lasak, Katarzyna, Velasco, Carlos
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FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS [PDF]
Econometric Theory, 2008 Asset returns are frequently assumed to be determined by one or more common factors. We consider a bivariate factor model where the unobservable common factor and idiosyncratic errors are stationary and serially uncorrelated but have strong dependence in higher moments.
Afonso Gonçalves da Silva +1 more
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Bayesian Network Meta‐Analysis With One or Two Continuous Outcomes Measured at Multiple Time Points Using Gaussian Random Walks With Drift [PDF]
Stat MedABSTRACT Network meta‐analysis of randomized controlled trials is traditionally conducted on a single outcome measured at one time point. However, many trials also feature a secondary outcome and both outcomes may have been reported at multiple time points. Existing network meta‐analysis methods for synthesizing continuous outcome data from such trials
Cheng P, da Costa B, Tomlinson G.
europepmc +2 more sources