Fractional integration and its influence on unit root and co-integration analysis
Guilherme de Oliveira Lima C. Marques
| Year of publication: |
julho-setembro 2016
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|---|---|
| Authors: | Marques, Guilherme de Oliveira Lima C. |
| Published in: |
Economia aplicada : EA. - Ribeirão Prêto : [FEA-RP, USP, Departamento de Economia], ISSN 1413-8050, ZDB-ID 2013461-7. - Vol. 20.2016, 3, p. 333-350
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| Subject: | Unit root tests | fractional integration | long-memory | co-integration | Monte Carlo simulations | Einheitswurzeltest | Unit root test | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Kointegration | Cointegration |