Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes.

In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.

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Year of publication:	1996
Authors:	Dolado, J.J. ; Marmol, F.
Subject:	ECONOMETRICS \| TESTS \| TIME SERIES \| MATHEMATICS

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Type of publication:	Book / Working Paper
Notes:	37 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005618385