Root-\(n\)-consistent estimation of weak fractional cointegration
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Publication:451251
DOI10.1016/j.jeconom.2006.07.004zbMath1247.91138OpenAlexW3123693017MaRDI QIDQ451251
Peter M. Robinson, Javier Hualde
Publication date: 23 September 2012
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.004
Fractional derivatives and integrals (26A33) Statistical methods; economic indices and measures (91B82)
Related Items
The distance between rival nonstationary fractional processes, Cointegration in fractional systems with deterministic trends, Nonparametric cointegration analysis of fractional systems with unknown integration orders, Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory, Multiple local Whittle estimation in stationary systems, Estimation of long-run parameters in unbalanced cointegration, Semiparametric inference in multivariate fractionally cointegrated systems, DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION, FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS, Fixed Bandwidth Inference for Fractional Cointegration, Instrumental variables estimation of stationary and non‐stationary cointegrating regressions, A bivariate fractionally cointegrated relationship in the context of cyclical structures
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