Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

DOI10.3982/ecta9299zbMath1274.62598OpenAlexW3123551008MaRDI 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 cointegrationlikelihood inferencecointegration rankvector autoregressive modelcofractional processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)

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