Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
Year of publication: |
April 2017
|
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Authors: | Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 197.2017, 2, p. 218-244
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Subject: | Deterministic trends | Factor models | Fractional cointegration | Long memory | Realized variance | Semiparametric estimation | Structural change | Kointegration | Cointegration | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Kleinste-Quadrate-Methode | Least squares method | Nichtparametrisches Verfahren | Nonparametric statistics |
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