Ørregaard Nielsen, Morten (contributor); … - 2002 - [Elektronische Ressource]
software.
We show that the likelihood theory in the time domain is tractable and that the ML estimator of the
cointegrating … applications where
cointegration is a result of rational expectations theory, i.e. that deviations from equilibrium in time t … fractional differencing and can be based on
residuals from readily available computer software.
The likelihood theory in the time …