On the maximum likelihood cointegration procedure under a fractional equilibrium error

Economics Letters

Volumn 65, Issue 2, 1999, Pages 143-147

  Andersson, Michael K ^a   Gredenhoff, Mikael P ^a  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

Author keywords

C12; C32; Error correction; Fractional integration; Likelihood ratio test; Long run relations

Indexed keywords

EID: 0033469309     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(99)00144-5     Document Type: Article

References (5)

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2. Granger C.W.J., Joyeux R. An introduction to long-memory time series models and fractional integration. Journal of Time Series Analysis. 1:1980;15-29.
3. Hosking J.R.M. Fractional differencing, Biometrica. 68:1981;165-176.
4. Johansen S. Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control. 12:1988;231-254.
5. Johansen S. Likelihood-based Inference in Cointegrated Vector Autoregressive Models. 1995;Oxford University Press, Oxford, UK.