Fully modified narrow‐band least squares estimation of weak fractional cointegration
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Publication:3018490
DOI10.1111/j.1368-423X.2010.00323.xzbMath1218.62095OpenAlexW1607052612MaRDI QIDQ3018490
Per Frederiksen, Morten Ørregaard Nielsen
Publication date: 27 July 2011
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2010.00323.x
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)
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