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~institution:"London School of Economics (LSE)"
~subject:"cointegration analysis"
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cointegration analysis
Fractional cointegration
8
cointegration
3
fractional cointegration
3
Cointegration
2
Nonstationary processes
2
least squares estimation
2
mixed normal asymptotics
2
narrow-band estimation
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system estimates
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unknown integration orders
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Asymptotic normality
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Cointegrating rank
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Consistency
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Convergence Rate
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Cross-Section of Asset Re- turns
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Diagnostic testing
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Equity Premium
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I (d) processes
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Instrumental variables estimation
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Latent State Variables
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Least Squares
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Long Run Risks
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Long memory
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Long-range dependence
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Nonstationary fractional processes
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Parametric estimation
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Semiparametric analysis
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Semiparametric estimation
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Smooth Transition Error Correction
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Smoothed Least Squares
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Specification testing
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Threshold Cointegration
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Threshold autoregression
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Wald tests
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asymptotic normality
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band spectrum regression
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cointegration analysis. AMS 2000 subject classifications : Primary 62M10
1
consistency
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deterministic trends
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Marinucci, D
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Robinson, Peter
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London School of Economics (LSE)
Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
4
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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CESifo
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Institut für Weltwirtschaft (IfW)
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Agricultural and Applied Economics Association - AAEA
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EconWPA
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Bank of Japan
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Center for European, Governance and Economic Development Research (CeGE), Wirtschaftswissenschaftliche Fakultät
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Centre of Excellence for Science and Innovation Studies, Kungliga Tekniska Högskolan (KTH)
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Centro di Ricerca sull'Economia delle Istituzioni (CREI), Università degli Studi di Roma 3
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DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
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Department of Economics, Leicester University
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Department of Economics, Trinity College
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Dipartimento di Economia e Diritto, Facoltà di Economia
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Dipartimento di Scienze Economiche, Matematiche e Statistiche, Dipartimento di Economia
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Erasmus University Rotterdam, Econometric Institute
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European Central Bank
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Fachbereich Wirtschaftswissenschaften, Universität Duisburg-Essen
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Institute for the Study of Labor (IZA)
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Instituto de Estudios Fiscales, Ministerio de Economía y Competitividad
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Instytut Badañ Gospodarczych (IBG)
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International Association of Agricultural Economists - IAAE
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Narodowy Bank Polski
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Philippine Institute for Development Studies (PIDS), Government of the Philippines
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School of Economics and Finance, Business School
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School of Economics, Faculty of Arts and Social Sciences
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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Suomen Pankki
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Wirtschaftswissenschaftliche Fakultät, Europa-Universität Viadrina Frankfurt (Oder)
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İktisadi ve İdari Bilimler Fakültesi, Dokuz Eylül Üniversitesi
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Narrow-band analysis of nonstationary processes
Marinucci, D
;
Robinson, Peter
-
London School of Economics (LSE)
-
2001
results can be applied in fractional
cointegration
with unknown integration orders. …
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