The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
Søren Johansen, Morten Ørregaard Nielsen
| Year of publication: |
October 2016
|
|---|---|
| Authors: | Johansen, Søren ; Nielsen, Morten Ørregaard |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 32.2016, 5, p. 1095-1139
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| Subject: | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0266466615000110 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011661716