A test for fractional cointegration using the sieve bootstrap
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- Franco, G.C. & Reisen, V.A. & Alves, F.A., 2013. "Bootstrap tests for fractional integration and cointegration: A comparison study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 87(C), pages 19-29.
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KeywordsFractional cointegration; Long memory; Sieve bootstrap;
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