9 citations · 9 across the 2 of their papers we have counts for
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econ.EM2019
Multivariate Fractional Components Analysis
Tobias Hartl, Roland Weigand
We propose a setup for fractionally cointegrated time series which is formulated in terms of latent integrated and short-memory components. It accommodates nonstationary processes…
econ.EM2018★ 9 cited
Approximate State Space Modelling of Unobserved Fractional Components
Tobias Hartl, Roland Weigand
We propose convenient inferential methods for potentially nonstationary multivariate unobserved components models with fractional integration and cointegration. Based on finite-ord…