Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach

Katsumi Shimotsu and Morton Orregaard Nielsen

No 273467, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Keywords: Financial Economics; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 34
Date: 2006-01
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273467

DOI: 10.22004/ag.econ.273467

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