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Weak convergence to derivatives of fractional brownian motion
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometric theory 40 (2024) 4, pp. 859-874
Persistent link: https://www.econbiz.de/10015154308
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The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometric theory 32 (2016) 5, pp. 1095-1139
Persistent link: https://www.econbiz.de/10011661716
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A necessary moment condition for the fractional functional central limit theorem
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometric theory 28 (2012) 3, pp. 671-679
Persistent link: https://www.econbiz.de/10009545803
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A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
Johansen, Søren; Ørregaard Nielsen, Morten - In: Econometric theory 28 (2011) 3, pp. 671-680
Persistent link: https://www.econbiz.de/10009968679
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A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
Nielsen, Morten Ørregaard - In: Econometric theory 25 (2009) 6, pp. 1515-1544
Persistent link: https://www.econbiz.de/10003904421
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A Bartlett correction factor for tests on the cointegrating relations
Johansen, Søren - In: Econometric theory 16 (2000) 5, pp. 740-778
Persistent link: https://www.econbiz.de/10001533173
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A representation of vector autoregressive processes integrated of order 2
Johansen, Søren - In: Econometric theory 8 (1992) 2, pp. 188-202
Persistent link: https://www.econbiz.de/10001128737
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A statistical analysis of cointegration for I(2) variables
Johansen, Søren - In: Econometric theory 11 (1995) 1, pp. 25-59
Persistent link: https://www.econbiz.de/10001176355
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A representation theory for a class of vector autoregressive models for fractional processes
Johansen, Søren - In: Econometric theory 24 (2008) 3, pp. 651-676
Persistent link: https://www.econbiz.de/10003894279
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Efficient likelihood inference in nonstationary univariate models
Nielsen, Morten Ørregaard - In: Econometric theory 20 (2004) 1, pp. 116-146
Persistent link: https://www.econbiz.de/10001904824