Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

DOI10.3982/ecta9299zbMath1274.62598MaRDI QIDQ125805

Morten Ørregaard Nielsen, Søren Glud Johansen

Publication date: 2012

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta9299

zbMATH Keywords

fractional cointegration; likelihood inference; cointegration rank; vector autoregressive model; cofractional processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G22: Fractional processes, including fractional Brownian motion

62F10: Point estimation

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