Semiparametric estimation of fractional cointegrating subspaces

DOI10.1214/009053606000000894zbMath1114.62084arXiv0708.0185OpenAlexW3123545151MaRDI QIDQ2373586

Willa W. Chen, Clifford M. Hurvich

Publication date: 12 July 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.0185

zbMATH Keywords

periodogram

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

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