Gaussian semi-parametric estimation of fractional cointegration

Journal of Time Series Analysis

Volumn 24, Issue 3, 2003, Pages 345-378

  Velasco, Carlos ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Long memory; Long range dependence; Multiple time series; Nonstationary time series; Residual based estimation

Indexed keywords

EID: 0141957081     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00311     Document Type: Article

References (28)

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