; Fractional Integration; Multivariate ARFIMA model; Multivariate Fractional Unit Root; Nonstationarity ∗ This paper has benefitted …), among others. With no simple procedures available to test or estimate the order of fractional integration for multiple time … testing for a unit root in a fractional integration framework, i.e. testing the parameter θ in a univariate version of (2) in …

Keywords: Fractional Cointegration; Fractional Integration; Whittle Likelihood; Long Memory; Realized Volatility … fractional integration with d around 0.35−0.45), whereas the forecasting error e t in (19) possesses only short memory, then x t … is, the residuals are of lower order of fractional integration than the volatility series themselves, d e <d. In fact …

We introduce a multivariate Lagrange Multiplier (LM) test for fractional integration. We derive and analyze the LM …Multivariate Lagrange Multiplier Tests for Fractional Integration Morten Ørregaard Nielsen Working Paper No. 2002 … Lagrange Multipliers Tests for Fractional Integration Morten Ørregaard Nielsen Working Paper No. 2002-18 DEPARTMENT OF …

Estimation of Fractional Integration in the Presence of Data Noise Niels Haldrup and Morten Ø. Nielsen Working Paper No … Estimation of Fractional Integration in the Presence of Data Noise Niels Haldrup and Morten Ø. Nielsen Working Paper No. 2003 … 89 42 11 33 - TELEFAX +45 86 13 63 34 Estimation of Fractional Integration in the Presence of Data Noise Niels Haldrup …

; secondary: 60G18, 62J05 JEL Classification: C14, C22 Keywords: Fractional integration, generalized least squares, linear …