Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
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Publication:125805
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
fractional cointegration; likelihood inference; cointegration rank; vector autoregressive model; cofractional processes
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G22: Fractional processes, including fractional Brownian motion
62F10: Point estimation
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