First Stage Estimation of Fractional Cointegration

DOI10.1515/1941-1928.1129zbMath1266.62064OpenAlexW2043778925MaRDI QIDQ4928550

Javier Hualde, Fabrizio Iacone

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/1941-1928.1129

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

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