Ørregaard Nielsen, Morten (contributor); … - 2002 - [Elektronische Ressource]
; Fractional Integration;
Multivariate ARFIMA model; Multivariate Fractional Unit Root; Nonstationarity
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This paper has benefitted …), among others.
With no simple procedures available to test or estimate the order of fractional integration for multiple
time … testing for a unit root in a fractional integration framework, i.e. testing
the parameter θ in a univariate version of (2) in …