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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

Cointegrated dynamics for a generalized long memory process : application to interest rates

Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, … - In: Journal of time series econometrics 12 (2020) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10012258310

Bootstrap LR Tests of Stationarity, Common Trends and Cointegration

Busetti, Fabio - 2011

The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time … power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration …

Persistent link: https://www.econbiz.de/10013125622

Nonlinearity induced weak instrumentation

Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos - In: Econometric reviews 33 (2014) 5/6, pp. 676-712

Persistent link: https://www.econbiz.de/10010363893

Dynamic model analysis : advanced matrix methods and unit root econometrics representation theorems

Faliva, Mario; Zoia, Maria Grazia - 2009 - 2. ed.

Persistent link: https://www.econbiz.de/10003744397

Copula-based time series with filtered nonstationarity

Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - 2020 - Final version: October 2020

Persistent link: https://www.econbiz.de/10012320594

Pitfalls in bootstrapping spurious regression

Phillips, Peter C. B. - In: Journal of quantitative economics 19 (2021), pp. 163-217

Persistent link: https://www.econbiz.de/10013441715

Testing for integration and cointegration when time series are observed with noise

Gianfreda, Angelica; Maranzano, Paolo; Parisio, Lucia; … - In: Economic modelling 125 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014463618

Modeling persistent interest rates with double-autoregressive processes

Hansen, Anne Lundgaard - In: Journal of banking & finance 133 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013257376

Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Persistent link: https://www.econbiz.de/10012626690