Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
Bent Jesper Christensen, Rasmus Tangsgaard Varneskov
| Year of publication: |
April 2017
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|---|---|
| Authors: | Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 197.2017, 2, p. 218-244
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| Subject: | Deterministic trends | Factor models | Fractional cointegration | Long memory | Realized variance | Semiparametric estimation | Structural change | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Kleinste-Quadrate-Methode | Least squares method | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.07.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011818356