Consistent testing of cointegrating relationships

Econometrica

Volumn 72, Issue 6, 2004, Pages 1809-1844

  Marmol, Francesc ^a   Velasco, Carlos ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Cointegration; Fractional processes; Long memory; Narrow band frequency analysis; Semiparametric inference; Spurious regression; Wald test

Indexed keywords

ECONOMICS; LEAST SQUARES APPROXIMATIONS; PARAMETER ESTIMATION; SET THEORY; STATISTICAL METHODS; VECTORS;

COINTEGRATION; FRACTIONAL PROCESSES; LONE MEMORY; NARROW-BAND FREQUENCY ANALYSIS; SEMIPARAMETRIC INFERENCE; SPURIOUS REGRESSION; WALD TEST;

THEOREM PROVING;

EID: 8344263883     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2004.00554.x     Document Type: Article

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