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Fully modified Narrow-Band least squares estimation of weak fractional cointegration

Frederiksen, Per; Nielsen, Morten Ørregaard - 2009

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of … fractional cointegration model, which has found important application recently, especially in financial economics. Previous …. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

Persistent link: https://www.econbiz.de/10003919719

Fully modified narrow-band least squares estimation of stationary fractional cointegration

Nielsen, Morten Ørregaard (contributor); … - 2008

We consider estimation of the cointegrating relation in the stationary fractional cointegration model. This model has … methodology. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

Persistent link: https://www.econbiz.de/10003742079

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Nielsen, Morten Ørregaard - 2004

We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The …

Persistent link: https://www.econbiz.de/10014071206

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Nielsen, Morten Ørregaard - 2004

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models …

Persistent link: https://www.econbiz.de/10014116819

Testing the CVAR in the fractional CVAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2017

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...

Persistent link: https://www.econbiz.de/10011756080

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Wonk-ki; Seong, Dakyung - 2022

Persistent link: https://www.econbiz.de/10012816384

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019

We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional time series taking values in the Hilbert space of square-integrable functions defined on a compact interval. The procedure is based on sequential application of a proposed test...

Persistent link: https://www.econbiz.de/10012183480

Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration

Nielsen, Morten Ørregaard; Frederiksen, Per - 2005

In this paper we compare through Monte Carlo simulations the finite sample properties of estimators of the fractional differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both parametric and semiparametric estimation methods. The...

Persistent link: https://www.econbiz.de/10010290342

Fully modified Narrow-Band least squares estimation of weak fractional cointegration

Frederiksen, Per; Nielsen, Morten Ørregaard - 2009

Persistent link: https://www.econbiz.de/10010290372

Fully modified narrow-band least squares estimation of stationary fractional cointegration

Nielsen, Morten Ørregaard; Frederiksen, Per - 2008

We consider estimation of the cointegrating relation in the stationary fractional cointegration model. This model has …

Persistent link: https://www.econbiz.de/10010290408