FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES

DOI10.1017/S026646660999065XzbMath1290.62074MaRDI QIDQ4933587

Stéphane Gregoir

Publication date: 14 October 2010

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Non-Markovian processes: estimation (62M09) Functional limit theorems; invariance principles (60F17)

Related Items (4)

Minimax interpolation of sequences with stationary increments and cointegrated sequences ⋮ On cointegration for processes integrated at different frequencies ⋮ Temporal Aggregation of Seasonally Near‐Integrated Processes ⋮ Periodic and seasonal (co-)integration in the state space framework

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