Root-N-Consistent Estimation Of Weakfractional Cointegration
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
|Date of creation:||Mar 2006|
|Date of revision:|
|Contact details of provider:|| Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp|
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