Hassler, Uwe; Marmol, Francesc; Velasco, Carlos - Fachbereich Rechts- und Wirtschaftswissenschaften, … - 2002
We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...
