Estimation of long-run parameters in unbalanced cointegration

DOI10.1016/j.jeconom.2013.10.014zbMath1293.62187OpenAlexW2158045507MaRDI QIDQ2512528

Javier Hualde

Publication date: 7 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/2454/19769

zbMATH Keywords

nonlinear least squareslong run parametersType II fractional Brownian motionunbalanced cointegration

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22)

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