Determination of cointegrating rank in fractional systems

Journal of Econometrics

Volumn 106, Issue 2, 2002, Pages 217-241

  Robinson, Peter M ^a   Yajima, Yoshihiro ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b UNIVERSITY OF TOKYO   (Japan)

Author keywords

Fractional cointegration; Long memory

Indexed keywords

EIGENVALUES AND EIGENFUNCTIONS; MATRIX ALGEBRA; SET THEORY; THEOREM PROVING; VECTORS;

COINTEGRATING RANK; FRACTIONAL SYSTEMS;

STATISTICAL METHODS;

EID: 0242429979     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00096-3     Document Type: Article

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