Time varying fractional cointegration
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More about this item
Keywords
Time varying Fractional cointegration;JEL classification:
- 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
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-06-25 (Econometrics)
- NEP-ETS-2012-06-25 (Econometric Time Series)
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