ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS

DOI10.1017/S0266466600163029zbMath0957.62054OpenAlexW1980093117MaRDI QIDQ4512685

Wen-Jen Tsay

Publication date: 29 March 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466600163029

zbMATH Keywords

fractional cointegrationnonstationary errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (3)

Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes ⋮ Fractional cointegration in the presence of linear trends ⋮ Inference on the cointegration rank in fractionally integrated processes.

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