Estimation of fractionally integrated panels with fixed effects and cross-section dependence
Year of publication: |
February 2017
|
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Authors: | Ergemen, Yunus Emre ; Velasco, Carlos |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 196.2017, 2, p. 248-258
|
Subject: | Fractional cointegration | Factor models | Long memory | Realized volatility | Volatilität | Volatility | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Panel | Panel study | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory |
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