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

Juan Dolado and Francesc Marmol

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)
Pages: 37 pages
Date: 1996
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9617

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