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Root-n-consistent estimation of weak fractional cointegration

Listed author(s):
  • Hualde, J.
  • Robinson, P.M.

Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, ß, between the integration order d of observable time series, and the integration order ? of cointegrating errors, is less than 0.5. This includes circumstances when observables are stationary or asymptotically stationary with long memory (so d 1/2, in particular =consistent-n and asymptotically normal estimation of the cointegrating vector ? is possible when ß

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 140 (2007)
Issue (Month): 2 (October)
Pages: 450-484

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Handle: RePEc:eee:econom:v:140:y:2007:i:2:p:450-484
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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