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Econometrics Paper
Multiple Local Whittle Estimation in Stationary Systems Peter M Robinson
October 2007
Paper No' EM/2007/525:
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JEL Classification: C32


Tags: long memory; phase; cointegration; semiparametric estimation; consistency; asymptotic normality.

Econometrics Paper
DIAGNOSTIC TESTING FOR COINTEGRATION Peter Robinson
September 2007
Paper No' EM/2007/522:
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JEL Classification: C32


Tags: fractional cointegration; diagnostic testing; specification testing; cointegrating rank; semiparametric estimation.

Econometrics Paper
Fractional Cointegration In Stochastic Volatility Models Afonso Gonçalves da Silva and Peter M Robinson
May 2007
Paper No' EM/2007/519:
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JEL Classification: C22


Tags: fractional cointegration; stochastic volatility; narrow band least squares; semiparametric analysis.

Econometrics Paper
Semiparametric Estimation of Fractional Cointegration Javier Hualde and Peter M Robinson
May 2006
Paper No' EM/2006/502:
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JEL Classification: C32


Tags: fractional cointegration; semiparametric model; unknown integration orders.

Econometrics Paper
Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory Afonso Gonçalves da Silva and Peter M Robinson April 2006
Paper No' EM/2006/501:
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JEL Classification: C32


Tags: fractional cointegration; memory estimation; stochastic volatility.

Econometrics Paper
Instrumental Variables Estimation of Stationary and Nonstationary Cointegrating Regressions Peter M Robinson and M. Gerolimetto April 2006
Paper No' EM/2006/500:
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JEL Classification: C32


Tags: cointegration; instrumental variables estimation; i(d) processes.

Econometrics Paper
ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION Javier Hualde and Peter M Robinson
March 2006
Paper No' EM/2006/499:
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JEL Classification: C32


Tags: fractional cointegration; parametric estimation; asymptotic normality.

Econometrics Paper
Determination of Cointegrating Rank in Fractional Systems Peter M Robinson and Yoshihiro Yajima
July 2001
Paper No' EM/2001/423:
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Tags: fractional cointegration; long memory.

Econometrics Paper
Semiparametric Fractional Cointegration Analysis D Marinucci and Peter M Robinson
July 2001
Paper No' EM/2001/420:
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Tags: semiparametric analysis; fractional cointegration.

Econometrics Paper
Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income L A Gil-Alaña and Peter M Robinson
November 2000
Paper No' EM/2000/402:
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Tags: fractional integration; nonstationarity; seasonality

Econometrics Paper
Testing of Unit Root and Other Nonstationary Hypotheses in Macroeconomic Time Series - (Now published in 'Journal of Econometrics', 80, 1997, pp.241-268.) L A Gil-Alaña and Peter M Robinson December 1996
Paper No' EM/1996/317:
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Tags: nonstationarity; macroeconomic time series; fractional integration

Econometrics Paper
Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.) Andrew C Harvey and Siem Jan Koopman March 1996
Paper No' EM/1996/307:
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Tags: co-integration; commontrends; cycles; kalman filter; structural time series model; triangular representation