Likelihood based testing for no fractional cointegration (Q736557)
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scientific article; zbMATH DE number 6609178
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Likelihood based testing for no fractional cointegration |
scientific article; zbMATH DE number 6609178 |
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Likelihood based testing for no fractional cointegration (English)
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4 August 2016
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error correction model
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Gaussian VAR model
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maximum likelihood estimation
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fractional cointegration
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likelihood ratio tests
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fractional Brownian motion
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