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Search: subject:"Multivariate ARFIMA model"
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Asymptotic Local Power
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Efficient Estimation
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Efficient Test
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Fractional Integration
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Multivariate ARFIMA model
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Multivariate Fractional Unit Root
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Nonstationarity
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English
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Nielsen, Morten Oerregaard
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School of Economics and Management, University of Aarhus
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Efficient Inference in Multivariate Fractionally Integrated Time Series Models
Nielsen, Morten Oerregaard
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School of Economics and Management, University of Aarhus
; Fractional Integration;
Multivariate
ARFIMA
model
; Multivariate Fractional Unit Root; Nonstationarity ∗ This paper has benefitted …
Persistent link: https://www.econbiz.de/10005787495
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