Efficient estimation of cointegrating relationships among higher order and fractionally integrated processes

Efficient estimation of cointegrating relationships among higher order and fractionally integrated processes

Serie: Documentos de Trabajo. 9617.

Autor: Juan J. Dolado and Francesc Marmol.

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Efficient estimation of cointegrating relationships among higher order and fractionally integrated processes (2 MB)

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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.

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