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Search: subject:"Multivariate Fractional Unit Root"
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Asymptotic Local Power
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Efficient Test
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Fractional Integration
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Multivariate Fractional Unit Root
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Nonstationarity
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Efficient Estimation
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Lagrange Multiplier Test
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Multivariate ARFIMA model
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English
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Nielsen, Morten Oe.
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Nielsen, Morten Oerregaard
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School of Economics and Management, University of Aarhus
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Economics Working Papers / School of Economics and Management, University of Aarhus
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Efficient Inference in Multivariate Fractionally Integrated Time Series Models
Nielsen, Morten Oerregaard
-
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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Multivariate Lagrange Multiplier Tests for Fractional Integration
Nielsen, Morten Oe.
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School of Economics and Management, University of Aarhus
Integration; Lagrange Multiplier Test;
Multivariate
Fractional
Unit
Root
; Nonstationarity ∗ Address correspondence to: Morten …
Persistent link: https://www.econbiz.de/10005198793
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