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Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

Shimotsu, Katsumi (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003295720

Determining the cointegrating rank in nonstationary frational system by the exact local Whittle approach

Nielsen, Morten Ørregaard; Shimotsu, Katsumi - In: Journal of econometrics 141 (2007) 2, pp. 574-596

Persistent link: https://www.econbiz.de/10003571326

Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank

Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 190 (2016) 1, pp. 46-61

Persistent link: https://www.econbiz.de/10011591614

Semiparametric cointegrating rank selection for curved cross section Time Series

Phillips, Peter C. B. - 2025

Persistent link: https://www.econbiz.de/10015417440

A new nonparametric test of cointegration rank

Kapetanios, George (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001867121

Semiparametric Cointegrating Rank Selection

Cheng, Xu; Phillips, Peter C. B. - 2008

sympathetic with semiparametric estimation approaches to cointegration analysis. Some simulations results on nite sample …

Persistent link: https://www.econbiz.de/10014217971

Semiparametric cointegrating rank selection

Cheng, Xu (contributor); Phillips, Peter C. B. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003767412

Semiparametric cointegrating rank selection

Cheng, Xu; Phillips, Peter C. B. - In: The econometrics journal 12 (2009), pp. 83-104

Persistent link: https://www.econbiz.de/10003876315

A New Nonparametric Test of Cointegration Rank

Kapetanios, George - 2003

This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary multivariate cointegrated systems. The asymptotic properties of the procedure are determined and a Monte Carlo study is carried out

Persistent link: https://www.econbiz.de/10014093432

A derivative based estimator for semiparametric index models

Donkers, Bas (contributor); Schafgans, Marcia (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001773692