Fixed Bandwidth Inference for Fractional Cointegration

DOI10.1111/jtsa.12455zbMath1435.62328OpenAlexW2949792238MaRDI QIDQ5226146

Javier Hualde, Fabrizio Iacone

Publication date: 30 July 2019

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

Full work available at URL: https://hdl.handle.net/2454/35940

zbMATH Keywords

generalized least squaresfractional cointegrationfixed bandwidth inferencenarrow band least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional derivatives and integrals (26A33)

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