Fractional cointegration in the presence of linear trends

DOI10.1111/j.1467-9892.2008.00597.xzbMath1199.62008MaRDI QIDQ3552866

Carlos Velasco, Francesc Marmol, Uwe Hassler

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00597.x

zbMATH Keywords

cointegration; long memory; local fractional trend; residual-based semiparametric estimators

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

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