Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach
Morten Nielsen () and
No 1029, Working Paper from Economics Department, Queen's University
Keywords: Cointegration rank; fractional cointegration; fractional integration; long memory; nonstationarity; semiparametric estimation; exact local Whittle estimator (search for similar items in EconPapers)
JEL-codes: C14 C32 (search for similar items in EconPapers)
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Journal Article: Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1029
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