Cointegration in Fractional Systems with Unknown Integration Orders

DOI10.1111/1468-0262.00468zbMath1154.91614MaRDI QIDQ5473003

Javier Hualde, Peter M. Robinson

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/2223/1/Cointegration_in_Fractional_Systems_with_Unkown_Integration_Orders.pdf

Mathematics Subject Classification ID

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

91B84: Economic time series analysis

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