Search Results | Publications

You searched for:

Keyword: fractional time series;

3 results found.

Econometrics Paper

Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects

Peter M Robinson and Carlos Velasco

A dynamic panel data model is considered that contains possibly stochastic individual components and a common fractional stochastic time trend. We propose four different ways of coping with the individual effects so as t...Read more...

20 November 2013

Econometrics Paper

Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in 'Journal of the American Statistical Association', 95, (2000), pp.1229-1243.)

Peter M Robinson and Carlos Velasco

Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the...Read more...

May 2000

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

Recently proposed tests for unit root and other nonstationarity of Robinson (1994a) are applied to an extended version of the data set used by Nelson and Plosser (1982). Unusually, the tests are efficient (against approp...Read more...

December 1996