The estimation and testing of the cointegration order based on the frequency domain
Igor Viveiros Melo Souza, Valderio Anselmo Reisen, Glaura da Conceição Franco, Pascal Bondon
| Year of publication: |
2018
|
|---|---|
| Authors: | Souza, Igor Viveiros Melo ; Reisen, Valdério Anselmo ; Franco, Glaura da Conceição ; Bondon, Pascal |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 36.2018, 4, p. 695-704
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| Subject: | Consistency | Determinant of spectral density matrix | Estimator | Fractional cointegration | Test of noncointegration | Schätztheorie | Estimation theory | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2016.1251442 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012249234