Estimating fractional cointegration in the presence of polynomial trends
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Publication:1410566
DOI10.1016/S0304-4076(03)00119-2zbMath1027.62066MaRDI QIDQ1410566
Willa W. Chen, Clifford M. Hurvich
Publication date: 14 October 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M15: Inference from stochastic processes and spectral analysis
Related Items
The FEXP estimator for potentially non-stationary linear time series., Semiparametric estimation of fractional cointegrating subspaces, Fully modified narrow‐band least squares estimation of weak fractional cointegration, Polynomial Cointegration Between Stationary Processes With Long Memory
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