Non parametric Fractional Cointegration Analysis
Year of publication: |
2007-02
|
---|---|
Authors: | Costantini, Mauro ; Cerqueti, Roy |
Institutions: | Istituto Nazionale di Statistica (ISTAT) |
Subject: | Fractional integrated process | Nonparametric methods | Cointegration | Asymptotic distribution | Generalized eigenvalues problem |
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