Non parametric Fractional Cointegration Analysis
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References listed on IDEAS
- Breitung, Jorg & Hassler, Uwe, 2002.
"Inference on the cointegration rank in fractionally integrated processes,"
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"Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics,"
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More about this item
KeywordsFractional integrated process; Nonparametric methods; Cointegration; Asymptotic distribution; Generalized eigenvalues problem.;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-24 (All new papers)
- NEP-ECM-2007-02-24 (Econometrics)
- NEP-ETS-2007-02-24 (Econometric Time Series)
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