Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (Q289172): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M15 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B84 / rank | |||
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| Property / zbMATH DE Number: 6586825 / rank | |||
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cointegration rank | |||
| Property / zbMATH Keywords: cointegration rank / rank | |||
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fractional cointegration | |||
| Property / zbMATH Keywords: fractional cointegration / rank | |||
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fractional integration | |||
| Property / zbMATH Keywords: fractional integration / rank | |||
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long memory | |||
| Property / zbMATH Keywords: long memory / rank | |||
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nonstationarity | |||
| Property / zbMATH Keywords: nonstationarity / rank | |||
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semiparametric estimation | |||
| Property / zbMATH Keywords: semiparametric estimation / rank | |||
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exact local Whittle estimator | |||
| Property / zbMATH Keywords: exact local Whittle estimator / rank | |||
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Revision as of 19:22, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach |
scientific article |
Statements
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (English)
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27 May 2016
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cointegration rank
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fractional cointegration
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fractional integration
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long memory
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nonstationarity
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semiparametric estimation
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exact local Whittle estimator
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