The distance between rival nonstationary fractional processes

Journal of Econometrics

Volumn 128, Issue 2, 2005, Pages 283-300

  Robinson, P M ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Fractional cointegration; Memory parameter estimation; Nonstationary fractional processes; Rates of convergence

Indexed keywords

ERROR ANALYSIS; FOURIER TRANSFORMS; INTEGRATION; MATHEMATICAL MODELS;

FRACTIONAL COINTEGRATION; MEMORY PARAMETER ESTIMATION; NONSTATIONARY FRACTIONAL PROCESSES; RATES OF CONVERGENCE;

TIME SERIES ANALYSIS;

EID: 24144438201     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.08.015     Document Type: Article

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