On an Estimation Method for an Alternative Fractionally Cointegrated Model
Year of publication: |
2014-04-29
|
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Authors: | Carlini, Federico ; Lasak, Katarzyna |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Error correction model | Gaussian VAR model | Fractional Cointegration | Estimation algorithm | Maximum likelihood estimation | Switching Algorithm | Reduced Rank Regression |
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