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FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes

Francesc Marmol and Juan Dolado

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Keywords: Nonstationary; fractionally; integrated; processes; Cointegration; Fully; modified; estimation; Misspecification (search for similar items in EconPapers)
Date: 1998-06
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