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On the maximum likelihood cointegration procedure under a fractional equilibrium error

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  • Andersson, Michael K.
  • Gredenhoff, Mikael P.
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    File URL: http://www.sciencedirect.com/science/article/B6V84-3YYT73P-2/2/51721c461cc54698ebc5c9451775f3ed
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 65 (1999)
    Issue (Month): 2 (November)
    Pages: 143-147

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    Handle: RePEc:eee:ecolet:v:65:y:1999:i:2:p:143-147

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    Web page: http://www.elsevier.com/locate/ecolet

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    1. Boswijk, Peter & Franses, Philip Hans, 1992. "Dynamic Specification and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 369-81, August.
    2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Cited by:
    1. Breitung, Jörg & Hassler, Uwe, 2000. "Inference on the cointegration rank in fractionally integrated processes," SFB 373 Discussion Papers 2000,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus.
    3. Lasak, Katarzyna, 2010. "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
    4. Krämer, Walter & Marmol, Francesc, 1998. "The power of residual-based tests for cointegration when residuals are fractionally integrated," Technical Reports 1998,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Stefan C. Norrbin & Aaron D. Smallwood, 2006. "Generalized long memory processes, failure of cointegration tests and exchange rate dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 409-417.
    6. Erik Hjalmarsson & Pär Österholm, 2010. "Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies," Empirical Economics, Springer, vol. 39(1), pages 51-76, August.

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