On the maximum likelihood cointegration procedure under a fractional equilibrium error

DOI10.1016/S0165-1765(99)00144-5zbMath1037.91595OpenAlexW1999643478WikidataQ127662343 ScholiaQ127662343MaRDI QIDQ1606352

Mikael P. Gredenhoff, Michael K. Andersson

Publication date: 30 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00144-5

zbMATH Keywords

cointegrationLagrange multiplier testmaximum likelihood procedure

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (4)

The power of residual-based tests for cointegration when residuals are fractionally integrated ⋮ Cointegrated dynamics for a generalized long memory process: application to interest rates ⋮ Likelihood based testing for no fractional cointegration ⋮ Inference on the cointegration rank in fractionally integrated processes.

Cites Work

• Statistical analysis of cointegration vectors
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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