On the maximum likelihood cointegration procedure under a fractional equilibrium error

DOI10.1016/S0165-1765(99)00144-5zbMATH Open1037.91595OpenAlexW1999643478WikidataQ127662343 ScholiaQ127662343MaRDI QIDQ1606352FDOQ1606352

Authors: Mikael P. Gredenhoff, Michael K. Andersson 

Publication date: 30 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00144-5

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zbMATH Keywords

cointegrationLagrange multiplier testmaximum likelihood procedure

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Statistical analysis of cointegration vectors
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Cited In (5)

• Likelihood based testing for no fractional cointegration
• Inference on the cointegration rank in fractionally integrated processes.
• The power of residual-based tests for cointegration when residuals are fractionally integrated
• Maximum likelihood estimation of mixed C-vines with application to exchange rates
• Cointegrated dynamics for a generalized long memory process: application to interest rates

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