Efficient inference in multivariate fractionally integrated time series models (Q3156187)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient inference in multivariate fractionally integrated time series models |
scientific article |
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Efficient inference in multivariate fractionally integrated time series models (English)
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6 January 2005
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multivariate ARFIMA model
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local alternative
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multivariate fractional unit root test
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LR test
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finite sample performance
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