Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

Morten Nielsen and Katsumi Shimotsu

Journal of Econometrics, 2007, vol. 141, issue 2, 574-596

Date: 2007
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Working Paper: Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:141:y:2007:i:2:p:574-596

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