An enlarged definition of cointegration
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/705.
Date of creation: 1996
Date of revision:
Publication status: Published in: Economics Letters (1996) v.50 nÂ° 2,p.193-196
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- Stock, James H & Watson, Mark W, 1993.
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- Michał Majsterek, 2012. "Cointegration Analysis in the Case of I(2) – General Overview," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(4), pages 215-252, December.
- Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
- Carlos P. Barros & Joao R. Faria & Luis A. Gil-Alana, 2009.
"Persistence on airline accidents,"
Faculty Working Papers
08/09, School of Economics and Business Administration, University of Navarra.
- Javier Hualde, 2012. "Estimation of the cointegrating rank in fractional cointegration," Documentos de Trabajo - Lan Gaiak Departamento de EconomÃa - Universidad PÃºblica de Navarra 1205, Departamento de Economía - Universidad Pública de Navarra.
- Peter M Robinson & Yoshihiro Yajima, 2001.
"Determination of Cointegrating Rank in Fractional Systems,"
STICERD - Econometrics Paper Series
/2001/423, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
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