On the maximum likelihood cointegration procedure under a fractional equilibrium error
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References listed on IDEAS
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- 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 369-381, August.
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- Erik Hjalmarsson & Pär Österholm, 2010.
"Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies,"
Springer, vol. 39(1), pages 51-76, August.
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- Krämer, Walter & Mármol, Francesc, 1999. "The power of residual base tests for cointegration when residuals are fractionally integrated," DES - Working Papers. Statistics and Econometrics. WS 6301, Universidad Carlos III de Madrid. Departamento de Estadística.
- Aaron Smallwood & Stefan Norrbin, 2004. "Estimating cointegrating vectors using near unit root variables," Applied Economics Letters, Taylor & Francis Journals, vol. 11(12), pages 781-784.
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- Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
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