Long-Run Covariability

DOI10.3982/ECTA15047zbMath1416.62514OpenAlexW2591072625MaRDI QIDQ4630012

Ulrich K. Müller, Mark W. Watson

Publication date: 29 March 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta15047

zbMATH Keywords

fractional integrationconfidence setsgreat ratiosbandpass regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15)

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