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On the maximum likelihood cointegration procedure under a fractional equilibrium error

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Author Info
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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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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  1. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus. [Downloadable!]
  2. Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, School of Economics and Management, University of Aarhus. [Downloadable!]
  3. 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. [Downloadable!]
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