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Frequency domain principal components estimation of fractionally cointegrated processes
Morana, Claudio - 2004
In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...
Persistent link: https://www.econbiz.de/10009636544
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Time series analysis of export demand equations : a cross-country analysis
Senhadji-Semlali, Abdel; Montenegro, Claudio - In: IMF staff papers 46 (1999) 3, pp. 259-273
Persistent link: https://www.econbiz.de/10001512257
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Is seasonal adjustment a linear or nonlinear data filtering process?
Ghysels, Eric; Granger, C. W. J.; Siklos, Pierre L. - 1995
Persistent link: https://www.econbiz.de/10001512556
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Prévisions dans des modèles erronés
Doucouré, Fodiyé Bakary - In: Cahiers de recherches économiques (1998) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001512630
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A bias-reduced log-periodogram regression estimator for the long-memory parameter
Andrews, Donald W. K.; Guggenberger, Patrik - 2000 - Rev.: May 2000
Persistent link: https://www.econbiz.de/10001512674
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The exact error in estimating the spectral density at the origin
Ng, Serena; Perron, Pierre - 1995
Persistent link: https://www.econbiz.de/10001512725
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Estimation and inference in nearly unbalanced, nearly cointegrated systems
Ng, Serena; Perron, Pierre - 1995
Persistent link: https://www.econbiz.de/10001512729
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Exact inference methods for first-order autoregressive distributed lag models
Dufour, Jean-Marie; Kiviet, J. F. - 1995
Persistent link: https://www.econbiz.de/10001513117
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Exact tests in single equation autoregressive distributed lag models
Kiviet, J. F.; Dufour, Jean-Marie - 1995
Persistent link: https://www.econbiz.de/10001513122
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Data mining reconsidered : encompassing and the general-to-specific approach to specification search
Hoover, Kevin D.; Perez, Stephen J. - In: The econometrics journal 2 (1999) 2, pp. 167-191
Persistent link: https://www.econbiz.de/10001515235