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Optimal residual based tests for fractional cointegration and exchange rate dynamics

Nielsen, Morten Ørregaard (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001702310

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

Semiparametric estimation in time series regressioon with long range dependence

Nielsen, Morten Ørregaard (contributor) - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002491368

Multivariate Lagrange Multiplier tests for fractional integration

Nielsen, Morten Ørregaard (contributor) - 2005

Persistent link: https://www.econbiz.de/10002612179

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

Noncontemporaneous cointegration and the importance of timing

Nielsen, Morten Ørregaard (contributor) - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002227585

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

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

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

Nonparametric cointegration analysis of fractional systems with unknown integration orders

Nielsen, Morten Ørregaard (contributor) - 2008

In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in fractionally integrated systems. The test statistic is easily calculated without prior knowledge of the integration order of the data, the strength of the cointegrating relations,...

Persistent link: https://www.econbiz.de/10003742085