Estimation of the cointegrating rank in fractional cointegration
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References listed on IDEAS
- Hualde, Javier & Velasco, Carlos, 2008.
"Distribution-Free Tests Of Fractional Cointegration,"
Cambridge University Press, vol. 24(01), pages 216-255, February.
- Javier Hualde & Carlos Velasco, 2006. "Distribution-free Tests of Fractional Cointegration," Faculty Working Papers 08/06, School of Economics and Business Administration, University of Navarra.
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More about this item
Keywordsfractional integration; cointegrating rank; cointegrating space and subspaces.;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
- NEP-ECM-2012-08-23 (Econometrics)
- NEP-ETS-2012-08-23 (Econometric Time Series)
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