Likelihood inference for a fractionally cointegrated vector autoregressive model

Soren Johansen and Morten ßrregaard Nielsen

No 273737, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 48
Date: 2010-05
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https://ageconsearch.umn.edu/record/273737/files/qed_wp_1237.pdf (application/pdf)

Related works:
Journal Article: Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2012)
Working Paper: Likelihood inference for a fractionally cointegrated vector autoregressive model (2010)
Working Paper: Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2010)
Working Paper: Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273737

DOI: 10.22004/ag.econ.273737

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