Spectral analysis of fractionally cointegrated systems

Economics Letters

Volumn 83, Issue 2, 2004, Pages 225-231

  Nielsen, Morten Ørregaard ^a  

^a Cornell University ^*  (United States)

Author keywords

Common stochastic trend; Fractional cointegration; Frequency domain; Reduced rank; Zero frequency

Indexed keywords

EID: 1542500519     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2003.10.017     Document Type: Article

References (13)

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