Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries

Computational Economics

Volumn 17, Issue 2-3, 2001, Pages 179-201

  Ramachandran, Rajalakshmi ^a   Beaumont, Paul ^a  

^a FLORIDA STATE UNIVERSITY   (United States)

Author keywords

Cointegration; Comovement; Dickie Fuller tests; Fractional integration; GARMA models; International interest rates; Long memory processes

Indexed keywords

EID: 0035355722     PISSN: 09277099     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1011640512990     Document Type: Article

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