Testing for time-varying fractional cointegration using the bootstrap approach
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References listed on IDEAS
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More about this item
Keywords
Time-varying fractional cointegration; bootstrap procedure;JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-07-08 (Econometrics)
- NEP-ETS-2012-07-08 (Econometric Time Series)
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