On the maximum likelihood cointegration procedure under a fractional equilibrium error

DOI10.1016/S0165-1765(99)00144-5MaRDI QIDQ1606352zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

cointegrationLagrange multiplier testmaximum likelihood procedure

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

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

Cited in

(5)

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

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