Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes

Juan J. Dolado and Francesc Marmol

Banco de España Working Papers from Banco de España

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.

Keywords: ECONOMETRICS; TESTS; TIME SERIES; MATHEMATICS (search for similar items in EconPapers)
JEL-codes: C10 C12 C15 C20 C22 (search for similar items in EconPapers)
Date: 1996
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Persistent link: http://EconPapers.repec.org/RePEc:bde:wpaper:9617

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