INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION

DOI10.1017/S0266466602183046zbMath1109.62342OpenAlexW2162364527MaRDI QIDQ4807304

Alvaro Escribano, Francesc Marmol, Felipe M. Aparicio

Publication date: 18 May 2003

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

Full work available at URL: https://doi.org/10.1017/s0266466602183046

zbMATH Keywords

tables

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

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