Semiparametric fractional cointegration analysis
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References listed on IDEAS
- Andrews, Donald W K, 1991.
"Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models,"
Econometric Society, vol. 59(2), pages 307-345, March.
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More about this item
KeywordsSemiparametric analysis; fractional cointegration;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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