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Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach

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  • Shimotsu, Katsumi
  • Orregaard Nielsen, Morton

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  • Shimotsu, Katsumi & Orregaard Nielsen, Morton, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Queen's Economics Department Working Papers 273467, Queen's University - Department of Economics.
    • Handle: RePEc:ags:quedwp:273467
    DOI: 10.22004/ag.econ.273467
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    References listed on IDEAS

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    24. 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 103-112, January.
    25. Chen, Willa W. & Hurvich, Clifford M., 2003. "Estimating fractional cointegration in the presence of polynomial trends," Journal of Econometrics, Elsevier, vol. 117(1), pages 95-121, November.
    26. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
    27. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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