Efficient inference in multivariate fractionally integrated time series models
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Publication:3156187
DOI10.1111/j.1368-423X.2004.00122.xzbMath1094.91054MaRDI QIDQ3156187
Publication date: 6 January 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00122.x
LR test; local alternative; finite sample performance; multivariate ARFIMA model; multivariate fractional unit root test
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Uses Software
Cites Work
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