Likelihood based testing for no fractional cointegration
type: Item
instance of: scholarly article
title: Likelihood based testing for no fractional cointegration
zbMATH Open document ID: 1431.62395
author: Katarzyna Łasak
published in: Journal of Econometrics
publication date: 2016-08-04T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F03
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6609178
zbMATH Keywords: error correction model
zbMATH Keywords: Gaussian VAR model
zbMATH Keywords: maximum likelihood estimation
zbMATH Keywords: fractional cointegration
zbMATH Keywords: likelihood ratio tests
zbMATH Keywords: fractional Brownian motion
describes a project that uses: Ox
MaRDI profile type: Publication
full work available at URL: j.jeconom.2010.03.008
OpenAlex ID: W3125897609
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DOI: 10.1016/J.JECONOM.2010.03.008
description: scientific article; zbMATH DE number 6609178