Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10001901946
Persistent link: https://www.econbiz.de/10003968609
Persistent link: https://www.econbiz.de/10009673193
Semiparametric estimation of a bivariate fractionally cointegrated system is considered. We propose a two-step procedure that accommodates both (asymptotically) stationary (d<1/2) and nonstationary (d>=1/2) stochastic trend and/or equilibrium error. A tapered version of the local Whittle estimator of Robinson (2008) is...</1/2)>
Persistent link: https://www.econbiz.de/10008702722
Persistent link: https://www.econbiz.de/10003318936
Persistent link: https://www.econbiz.de/10003295720
Persistent link: https://www.econbiz.de/10003571326
Persistent link: https://www.econbiz.de/10000846440
Persistent link: https://www.econbiz.de/10000141685
Persistent link: https://www.econbiz.de/10001924682