Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

DOI10.1111/jtsa.12438zbMath1421.62122OpenAlexW2804887259MaRDI QIDQ5226145

Søren Glud Johansen, Morten Ørregaard Nielsen

Publication date: 30 July 2019

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

Full work available at URL: https://ageconsearch.umn.edu/record/274731/files/qed_wp_1405.pdf

zbMATH Keywords

cointegrationfractional integrationlikelihood inferencevector autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Asymptotic properties of parametric tests (62F05)

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Cites Work

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