FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes
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Nonstationary fractionally integrated processes; Cointegration; Fully modified estimation; Misspecification;
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- Juan J. Dolado & Francisco Mármol, 1996. "Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes," Banco de Espaï¿½a Working Papers 9617, Banco de Espa�a.
- Peter C.B. Phillips & Joon Y. Park, 1986.
"Statistical Inference in Regressions with Integrated Processes: Part 1,"
Cowles Foundation Discussion Papers
811R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1987.
- Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(03), pages 468-497, December.
- Francesc Marmol & Juan J. Dolado, 1999. "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999 513, Society for Computational Economics.
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