Power and Bias of Likelihood Based Inference in the Cointegration Model under Fractional Cointegration
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lyhagen, Johan, 1998. "Maximum likelihood estimation of the multivariate fractional cointegrating model," SSE/EFI Working Paper Series in Economics and Finance 233, Stockholm School of Economics.
More about this item
KeywordsError correction; likelihood ratio test; maximum likelihood; fractional integration;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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