Palgrave Handbook of Econometrics: Applied Econometrics

452 Fractional Integration and Cointegration version of PPP being characterized by a slope equal to 1, while evidence of frac- t ...

Luis A. Gil-Alana and Javier Hualde 453 Still concerning the forward premium, much effort has also been devoted to explanations ...

454 Fractional Integration and Cointegration to this type of cointegration, denoted stationary cointegration, appears in Robin- ...

Luis A. Gil-Alana and Javier Hualde 455 10.3.3.3 Applications to interest rates This has not been a very popular application of ...

456 Fractional Integration and Cointegration where fractional cointegration has attracted attention is the analysis of the link- ...

Luis A. Gil-Alana and Javier Hualde 457 version of PPP, so this is testable by the Wald statistic of (10.19). Using unit root te ...

458 Fractional Integration and Cointegration 1.341, and then Box-Jenkins-type procedures identified models within the ARMA class ...

Luis A. Gil-Alana and Javier Hualde 459 Table 10.1 PPP empirical example estimates ofνand Wald tests ofν=1 for Models 1–7 comput ...

460 Fractional Integration and Cointegration Excellent surveys can be found in Beran (1994), Baillie (1996), Doukhan, Oppenheim ...

Luis A. Gil-Alana and Javier Hualde 461 Aydogan, K. and G.G. Booth (1988) Are there long cycles in common stock returns?Southern ...

462 Fractional Integration and Cointegration Bos, C., P.H. Franses and M. Ooms (1999) Long memory and level shifts: reanalyzing ...

Luis A. Gil-Alana and Javier Hualde 463 Christensen, B.J. and N.O. Nielsen (2006) Asymptotic normality of narrowed band least sq ...

464 Fractional Integration and Cointegration Dolado, J.J. and F. Marmol (1996) Efficient estimation of cointegrating relationshi ...

Luis A. Gil-Alana and Javier Hualde 465 Gil-Alana, L.A. (2007) Testing the existence of multiple cycles in financial and economi ...

466 Fractional Integration and Cointegration Haubrich, J.G. (1993) Consumption and fractional differencing. Old and new anomalie ...

Luis A. Gil-Alana and Javier Hualde 467 Lebo, M. and W.M. Moore (2003) Dynamic foreign policy.Journal of Conflict Resolution 74 ...

468 Fractional Integration and Cointegration Phillips, P.C.B. (1991a) Optimal inference in cointegrating systems. Econometrica 5 ...

Luis A. Gil-Alana and Javier Hualde 469 Saikkonen, P. (1991) Asymptotically efficient estimation of cointegrating regressions.Ec ...

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Part IV Cross-section and Panel Data Applications ...