Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

Journal of Econometrics

Volumn 141, Issue 2, 2007, Pages 574-596

  Nielsen, Morten Ørregaard ^a   Shimotsu, Katsumi ^b  

^a Cornell University ^*  (United States)

^b QUEEN S UNIVERSITY   (Canada)

Author keywords

Cointegration rank; Exact local Whittle estimator; Fractional cointegration; Fractional integration; Long memory; Nonstationarity; Semiparametric estimation

Indexed keywords

ERROR ANALYSIS; NUMERICAL METHODS; RANDOM PROCESSES;

COINTEGRATION RANK; EXACT LOCAL WHITTLE ESTIMATOR; FRACTIONAL COINTEGRATION; FRACTIONAL INTEGRATION; SEMIPARAMETRIC ESTIMATION;

ECONOMIC ANALYSIS;

EID: 34848827390     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.10.008     Document Type: Article

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