Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (Q289172)
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scientific article; zbMATH DE number 6586825
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| English | Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach |
scientific article; zbMATH DE number 6586825 |
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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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0.8571966290473938
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0.8377149105072021
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0.8352776169776917
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0.8135340809822083
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0.8092270493507385
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