Semiparametric inference in multivariate fractionally cointegrated systems
From MaRDI portal
Publication:736545
DOI10.1016/j.jeconom.2010.04.002zbMath1431.62385OpenAlexW2078162703MaRDI QIDQ736545
Javier Hualde, Peter M. Robinson
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.04.002
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)
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