Ørregaard Nielsen, Morten (contributor); … - 2002 - [Elektronische Ressource]
model.
A two step estimator, equivalent to the local Whittle QMLE, is proposed to jointly esti-
mate the integration orders … of the regressors, the integration order of the errors, and the
cointegration vector. The estimator is semiparametric in …
zero frequency. We show that, for the entire stationary region of the integration orders,
the estimator is asymptotically …