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Volumn 11, Issue 13, 2004, Pages 837-842

Frequency domain principal components estimation of fractionally cointegrated processes

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; METHODOLOGY; MONTE CARLO ANALYSIS;

EID: 7044260915     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350485042000261298     Document Type: Article
Times cited : (16)

References (14)
  • 1
    • 0001699986 scopus 로고
    • Asymptotic Theory for principal components analysis
    • Anderson, T. W. (1963) Asymptotic Theory for principal components analysis, Annals of Mathematical Statistics, 34, 122-48.
    • (1963) Annals of Mathematical Statistics , vol.34 , pp. 122-148
    • Anderson, T.W.1
  • 4
    • 0000013567 scopus 로고
    • Co-integration and error correction: Representation estimation and testing
    • Engle R. F. and Granger, C. W. J. (1987) Co-integration and error correction: representation estimation and testing, Econometrica, 55(2), 251-76.
    • (1987) Econometrica , vol.55 , Issue.2 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 5
    • 0002653201 scopus 로고
    • Common stochastic trends in international stock markets
    • Kasa, K. (1992) Common stochastic trends in international stock markets, Journal of Monetary Economics, 29, 95-124.
    • (1992) Journal of Monetary Economics , vol.29 , pp. 95-124
    • Kasa, K.1
  • 9
    • 33745248740 scopus 로고
    • Understanding spurious regressions in econometrics
    • Philips, P. C. B. (1986) Understanding spurious regressions in econometrics, Journal of Econometrics, 33, 311-40.
    • (1986) Journal of Econometrics , vol.33 , pp. 311-340
    • Philips, P.C.B.1
  • 11
    • 21344460304 scopus 로고
    • Gaussian semiparametric estimation of long range dependence
    • Robinson, P. M. (1995) Gaussian semiparametric estimation of long range dependence, The Annals of Statistics, 23, 1630-61.
    • (1995) The Annals of Statistics , vol.23 , pp. 1630-1661
    • Robinson, P.M.1
  • 13
    • 0242429979 scopus 로고    scopus 로고
    • Determination of cointegrating rank in fractional systems
    • Robinson, P. M. and Yajima, Y. (2002) Determination of cointegrating rank in fractional systems, Journal of Econometrics, 106(2 , 217-41.
    • (2002) Journal of Econometrics , vol.106 , Issue.2 , pp. 217-241
    • Robinson, P.M.1    Yajima, Y.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.