Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration

DOI10.1111/jtsa.12113zbMath1325.62084MaRDI QIDQ5256818

Javier Hualde, Fabrizio Iacone

Publication date: 29 June 2015

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

Full work available at URL: https://doi.org/10.1111/jtsa.12113

zbMATH Keywords

fractional cointegration; first-stage methods; small-\(b\) and fixed-\(b\) asymptotic theory

Mathematics Subject Classification ID

62G07: Density estimation

Related Items

Fixed Bandwidth Inference for Fractional Cointegration

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