Semiparametric fractional cointegration analysis

DOI10.1016/S0304-4076(01)00076-8zbMath0980.62081OpenAlexW2569439803WikidataQ126458993 ScholiaQ126458993MaRDI QIDQ5952032

Domenico Marinucci, Peter M. Robinson

Publication date: 6 March 2002

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00076-8

zbMATH Keywords

fractional cointegrationsemiparametric analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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