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~institution:"London School of Economics (LSE)"
~subject:"Specification testing"
~subject:"least squares estimation"
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Specification testing
least squares estimation
Fractional cointegration
8
cointegration
3
fractional cointegration
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Cointegration
2
Nonstationary processes
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mixed normal asymptotics
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narrow-band estimation
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system estimates
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unknown integration orders
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Asymptotic normality
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Consistency
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Cross-Section of Asset Re- turns
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Diagnostic testing
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Equity Premium
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I (d) processes
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Instrumental variables estimation
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Latent State Variables
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Least Squares
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Nonstationary fractional processes
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Parametric estimation
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Smooth Transition Error Correction
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Threshold Cointegration
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Wald tests
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asymptotic normality
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band spectrum regression
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cointegration analysis
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cointegration analysis. AMS 2000 subject classifications : Primary 62M10
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consistency
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Robinson, Peter
2
Marinucci, D
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Marinucci, D.
1
Robinson, Peter M.
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London School of Economics (LSE)
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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Diagnostic testing for
cointegration
Robinson, Peter
-
London School of Economics (LSE)
-
2007
common to several series, an estimate of this parameter based on the assumption of no
cointegration
achieves an efficiency …
Persistent link: https://www.econbiz.de/10010746056
Saved in:
2
Narrow-band analysis of nonstationary processes
Marinucci, D
;
Robinson, Peter
-
London School of Economics (LSE)
-
2001
results can be applied in fractional
cointegration
with unknown integration orders. …
Persistent link: https://www.econbiz.de/10010745768
Saved in:
3
Narrow-band analysis of nonstationary processes
Marinucci, D.
;
Robinson, Peter M.
-
London School of Economics (LSE)
-
2001
results can be applied in fractional
cointegration
with unknown integration orders. …
Persistent link: https://www.econbiz.de/10010928796
Saved in:
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