Nonparametric frequency domain analysis of nonstationary multivariate time series

Journal of Statistical Planning and Inference

Volumn 116, Issue 1, 2003, Pages 209-247

  Velasco, Carlos ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Coherence; Fractional cointegration; Long memory; Long range dependence; Semiparametric estimation; Spectral density

Indexed keywords

EID: 0038647328     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-3758(02)00235-5     Document Type: Article

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