Determination of cointegrating rank in fractional systems.

DOI10.1016/S0304-4076(01)00096-3zbMath1038.62082OpenAlexW3121889470MaRDI QIDQ1858915

Yoshihiro Yajima, Peter M. Robinson

Publication date: 17 February 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00096-3

zbMATH Keywords

long memoryfractional cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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