Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
type: Item
instance of: scholarly article
title: Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
zbMATH Open document ID: 1422.62279
author: Bent Jesper Christensen
author: Rasmus Tangsgaard Varneskov
published in: Journal of Econometrics
publication date: 2017-03-10T00:00:00Z
full work available at URL: Christensen 2017 Medium band least squares estimation of fractional cointegration.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 60J10
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6693807
zbMATH Keywords: deterministic trends
zbMATH Keywords: factor models
zbMATH Keywords: fractional cointegration
zbMATH Keywords: long memory
zbMATH Keywords: realized variance
zbMATH Keywords: semiparametric estimation
zbMATH Keywords: structural change
MaRDI profile type: Publication
OpenAlex ID: W2282262762
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DOI: 10.1016/J.JECONOM.2016.07.009
description: scientific article; zbMATH DE number 6693807