Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127)
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scientific article; zbMATH DE number 6693807
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| English | Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination |
scientific article; zbMATH DE number 6693807 |
Statements
Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (English)
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10 March 2017
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deterministic trends
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factor models
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fractional cointegration
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long memory
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realized variance
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semiparametric estimation
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structural change
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0.8015919327735901
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0.787233829498291
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0.7682798504829407
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0.7682798504829407
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0.765953779220581
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