Semiparametric estimation of fractional cointegrating subspaces
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Publication:2373586
DOI10.1214/009053606000000894zbMath1114.62084arXiv0708.0185MaRDI QIDQ2373586
Willa W. Chen, Clifford M. Hurvich
Publication date: 12 July 2007
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0708.0185
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
62M15: Inference from stochastic processes and spectral analysis
Related Items
Multiple local Whittle estimation in stationary systems, DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION, A bivariate fractionally cointegrated relationship in the context of cyclical structures
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