On the maximum likelihood cointegration procedure under a fractional equilibrium error (Q1606352): Difference between revisions
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| Property / cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING / rank | |||
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| Property / cites work: Fractional differencing / rank | |||
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| Property / cites work: Statistical analysis of cointegration vectors / rank | |||
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| Property / cites work: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models / rank | |||
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Revision as of 11:02, 4 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the maximum likelihood cointegration procedure under a fractional equilibrium error |
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On the maximum likelihood cointegration procedure under a fractional equilibrium error (English)
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30 July 2002
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maximum likelihood procedure
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Lagrange multiplier test
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cointegration
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