Cointegration in fractional systems with deterministic trends

DOI10.1016/j.jeconom.2004.09.009zbMath1335.62144OpenAlexW2065147055MaRDI QIDQ265117

Fabrizio Iacone, Peter M. Robinson

Publication date: 1 April 2016

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

Full work available at URL: http://eprints.lse.ac.uk/2232/1/Cointegration_in_Fractional_Systems_with_Deterministic_Trends.pdf

zbMATH Keywords

fractional cointegrationWald testsdeterministic trendsgeneralized least squares estimationordinary least squares estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Non-Markovian processes: estimation (62M09)

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