A model of fractional cointegration, and tests for cointegration using the bootstrap

Journal of Econometrics

Volumn 110, Issue 2, 2002, Pages 187-212

  Davidson, James ^a  

^a CARDIFF UNIVERSITY   (United Kingdom)

Author keywords

Bootstrap; Cointegration; Fractional integration

Indexed keywords

COMPUTATIONAL METHODS; COMPUTER SIMULATION; INTEGRATION; PARAMETER ESTIMATION; RANDOM PROCESSES; REGRESSION ANALYSIS;

BOOTSTRAP DISTRIBUTIONS; FRACTIONAL COINTEGRATION;

STATISTICAL TESTS;

EID: 0346979274     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00092-1     Document Type: Conference Paper

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