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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
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Multivariate Lagrange Multiplier tests for fractional integration
Nielsen, Morten Ørregaard (contributor) - 2005
Persistent link: https://www.econbiz.de/10002612179
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Spectral analysis of fractionally cointegrated systems
Nielsen, Morten Ørregaard - In: Economics letters 83 (2004) 2, pp. 225-231
Persistent link: https://www.econbiz.de/10001991527
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Noncontemporaneous cointegration and the importance of timing
Nielsen, Morten Ørregaard - In: Economics letters 86 (2005) 1, pp. 113-119
Persistent link: https://www.econbiz.de/10002516515
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Semiparametric estimation in time series regressioon with long range dependence
Nielsen, Morten Ørregaard (contributor) - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491368
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Multivariate lagrange multiplier tests for fractional integration
Nielsen, Morten Ørregaard - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 372-398
Persistent link: https://www.econbiz.de/10002989096
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Efficient inference in multivariate fractionally integrated time series models
Nielsen, Morten Ørregaard - In: The econometrics journal 7 (2004) 1, pp. 63-97
Persistent link: https://www.econbiz.de/10002121962
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Noncontemporaneous cointegration and the importance of timing
Nielsen, Morten Ørregaard (contributor) - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002227585
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Optimal residual-based tests for fractional cointegration and exchange rate dynamics
Nielsen, Morten Ørregaard - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 3, pp. 331-345
Persistent link: https://www.econbiz.de/10002135512
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A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
Nielsen, Morten Ørregaard - In: Econometric theory 25 (2009) 6, pp. 1515-1544
Persistent link: https://www.econbiz.de/10003904421