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Semiparametric Estimation of Multivariate Fractional Cointegration
Chen, Willa W.; Hurvich, Clifford M. - In: Journal of the American Statistical Association 98 (2003) 1, pp. 629-642
Persistent link: https://www.econbiz.de/10005733926
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On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series
Chen, Willa W.; Hurvich, Clifford M.; Lu, Yi - In: Journal of the American Statistical Association 101 (2006) June, pp. 812-822
Persistent link: https://www.econbiz.de/10005238882