The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
Year of publication: |
2012-11
|
---|---|
Authors: | Johansen, Søren ; Nielsen, Morten Ørregaard |
Institutions: | Economics Department, Queen's University |
Subject: | fractional integration | conditional inference | bias | Asymptotic expansion | initial values | likelihood inference |
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