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Determination of cointegrating rank in fractional systems

  • Robinson, Peter M.
  • Yajima, Yoshihiro

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File URL: http://www.sciencedirect.com/science/article/B6VC0-44HSXYX-2/2/d1d486724bde5976bdb9fe320664c699
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 106 (2002)
Issue (Month): 2 (February)
Pages: 217-241

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Handle: RePEc:eee:econom:v:106:y:2002:i:2:p:217-241
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Renato FlĂ´res & Ariane Szafarz, 1996. "An enlarged definition of cointegration," ULB Institutional Repository 2013/705, ULB -- Universite Libre de Bruxelles.
  2. Karim M. Abadir & A. M. Robert Taylor, . "On the Definitions of (Co-)Integration," Discussion Papers 97/19, Department of Economics, University of York.
  3. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-12, January.
  4. Gunderson, Brenda K. & Muirhead, Robb J., 1997. "On Estimating the Dimensionality in Canonical Correlation Analysis," Journal of Multivariate Analysis, Elsevier, vol. 62(1), pages 121-136, July.
  5. Phillips, P. C. B. & Ouliaris, S., 1988. "Testing for cointegration using principal components methods," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 205-230.
  6. D Marinucci & Peter M. Robinson, 1998. "Semiparametric frequency domain analysis of fractional cointegration," LSE Research Online Documents on Economics 2258, London School of Economics and Political Science, LSE Library.
  7. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  8. Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
  9. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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