On the identification of fractionally cointegrated VAR models with the F(d) condition
Year of publication: |
2019
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Authors: | Carlini, Federico ; Santucci de Magistris, Paolo |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 37.2019, 1, p. 134-146
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Subject: | Cofractional model | Fractional cointegration | Identification | Lag selection | VAR-Modell | VAR model | Kointegration | Cointegration | Theorie | Theory | Schätzung | Estimation |
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