The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
type: Item
instance of: scholarly article
title: The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
zbMATH Open document ID: 1062.62168
author: Emmanuel Dubois
author: Sandrine Lardic
author: Valérie Mignon
published in: Computational Economics
publication date: 2005-06-14T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 62M07
zbMATH DE Number: 2175862
describes a project that uses: ARFIMA
MaRDI profile type: Publication
full work available at URL: s10614-004-3544-x
OpenAlex ID: W1968543913
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cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
cites work: Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
cites work: Fractional differencing
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DOI: 10.1007/S10614-004-3544-X
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description: scientific article; zbMATH DE number 2175862