Semiparametric Estimation of Multivariate Fractional Cointegration
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Publication:4468473
DOI10.1198/016214503000000530zbMath1040.62081OpenAlexW2107138264MaRDI QIDQ4468473
Willa W. Chen, Clifford M. Hurvich
Publication date: 10 June 2004
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/016214503000000530
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)
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