Semiparametric Estimation of Fractional Cointegration
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- Robinson, Peter M. & Gerolimetto, M., 2006. "Instrumental variables estimation of stationary and nonstationary cointegrating regressions," LSE Research Online Documents on Economics 4539, London School of Economics and Political Science, LSE Library.
- Avarucci, Marco & Velasco, Carlos, 2009.
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- Avarucci Marco & Velasco Carlos, 2008. "A Wald Test for the Cointegration Rank in Nonstationary Fractional Systems," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
- Robinson, Peter M., 2007. "Multiple local whittle estimation in stationary systems," LSE Research Online Documents on Economics 4436, London School of Economics and Political Science, LSE Library.
- Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-10, December.
More about this item
- 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-2006-07-02 (All new papers)
- NEP-ECM-2006-07-02 (Econometrics)
- NEP-ETS-2006-07-02 (Econometric Time Series)
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