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On testing and forecasting in fractionally integrated time series models
Andersson, Michael K. - 1998
Persistent link: https://www.econbiz.de/10001372216
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Do long-memory models have long memory?
Andersson, Michael K. - In: On testing and forecasting in fractionally integrated …, (pp. 29-40). 1998
Persistent link: https://www.econbiz.de/10001440033
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On the effects of imposing or ignoring long memory when forecasting
Andersson, Michael K. - In: On testing and forecasting in fractionally integrated …, (pp. 29-40). 1998
Persistent link: https://www.econbiz.de/10001440059
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Power and bias of likelihood based inference in the cointegration model under fractional cointegration
Andersson, Michael K. - In: On testing and forecasting in fractionally integrated …, (pp. 57-68). 1998
Persistent link: https://www.econbiz.de/10001440089
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Bootstrap testing for fractional integration
Andersson, Michael K. - In: On testing and forecasting in fractionally integrated …, (pp. 77-90). 1998
Persistent link: https://www.econbiz.de/10001440091
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Robust testing for fractional integration using the bootstrap
Andersson, Michael K. - In: On testing and forecasting in fractionally integrated …, (pp. 91-111). 1998
Persistent link: https://www.econbiz.de/10001440092
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A simple linear time series model with misleading nonlinear properties
Andersson, Michael K.; Eklund, Bruno; Lyhagen, Johan - In: Economics letters 65 (1999) 3, pp. 281-284
Persistent link: https://www.econbiz.de/10001422782
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An ARCH robust STAR test
Andersson, Michael K.; Eklund, Bruno; Lyhagen, Johan - 1999
Persistent link: https://www.econbiz.de/10001394208
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On the maximum likelihood cointegration procedure under a fractional equilibrium error
Andersson, Michael K.; Gredenhoff, Mikael P. - In: Economics letters 65 (1999) 2, pp. 143-147
Persistent link: https://www.econbiz.de/10001416516
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Improving fractional integration tests with bootstrap distributions
Andersson, Michael K. (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001714017