Exact local Whittle estimation of fractionally cointegrated systems (Q528005)
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scientific article; zbMATH DE number 6714736
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| English | Exact local Whittle estimation of fractionally cointegrated systems |
scientific article; zbMATH DE number 6714736 |
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Exact local Whittle estimation of fractionally cointegrated systems (English)
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12 May 2017
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discrete Fourier transform
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fractional cointegration
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long memory
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nonstationarity
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semiparametric estimation
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Whittle likelihood
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0.8524807095527649
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0.8411328792572021
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0.841111421585083
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0.8374575972557068
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0.8341881632804871
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