Efficient estimation of cointegrating relationships among higher order and fractionally integrated processes
Series: Working Papers. 9617.
Author: Juan J. Dolado and Francesc Marmol.
Quantitative methods
- Exchange rates
- Economic situation
- Financial markets
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Abstract
In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.