Estimating fractional cointegration in the presence of polynomial trends
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Publication:1410566
DOI10.1016/S0304-4076(03)00119-2zbMath1027.62066MaRDI QIDQ1410566
Clifford M. Hurvich, Willa W. Chen
Publication date: 14 October 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)
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