Exact local Whittle estimation of fractionally cointegrated systems
Year of publication: |
2012
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Authors: | Shimotsu, Katsumi |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 169.2012, 2, p. 266-278
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Subject: | Theorie | Theory | Stochastischer Prozess | Stochastic process | Kointegration | Cointegration | Nichtparametrisches Verfahren | Nonparametric statistics |
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