Browsing ECO Working Papers by Author "DEMETRESCU, Matei"

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Title: Fractional Integration and Cointegration Testing Using the Sample Mean Author(s): DEMETRESCU, Matei Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: The convergence rate of the sample mean of fractionally integrated processes is exploited to build test statistics for the fractional integration parameter d of univariate series, as well as for the rank of fractional ...
Title: Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s): DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: When applying Johansen's procedure for determining the coin- tegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in ...

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