On the maximum likelihood cointegration procedure under a fractional equilibrium error (Q1606352): Difference between revisions

@@ Property / author @@
+Michael K. Andersson
@@ Property / author: Michael K. Andersson / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical analysis of cointegration vectors
@@ Property / cites work: Statistical analysis of cointegration vectors / rank @@
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@@ Property / cites work @@
+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0165-1765(99)00144-5
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@@ Property / OpenAlex ID @@
+W1999643478
@@ Property / OpenAlex ID: W1999643478 / rank @@
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@@ Property / Wikidata QID @@
+Q127662343
@@ Property / Wikidata QID: Q127662343 / rank @@
+Normal rank