Fully modified narrow‐band least squares estimation of weak fractional cointegration
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Publication:3018490
DOI10.1111/j.1368-423X.2010.00323.xzbMath1218.62095MaRDI QIDQ3018490
Per Frederiksen, Morten Ørregaard Nielsen
Publication date: 27 July 2011
Published in: The Econometrics Journal (Search for Journal in Brave)
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62M15: Inference from stochastic processes and spectral analysis
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