Search Results - subject:"finite sample improvements"

Finite sample improvement in statistical inference with I(1) processes

Marinucci, D; Robinson, Peter M - London School of Economics (LSE) - 2001

Robinson and Marinucci (1998) investigated the asymptotic behaviour of a narrow-band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here we restrict to the standard case when the data are I(1) and the cointegrating...

Persistent link: https://www.econbiz.de/10011126378

Finite sample improvements in statistical inference with I(1) processes

Marinucci, D.; Robinson, Peter - London School of Economics (LSE) - 2001

Persistent link: https://www.econbiz.de/10010745689

Finite Sample Improvement in Statistical Inference with I(1) Processes

Marinucci, D; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2001

Persistent link: https://www.econbiz.de/10005797501