Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach

Morten Nielsen and Katsumi Shimotsu

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)
Pages: 33 pages
Date: 2006-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1029.pdf First version 2006 (application/pdf)

Related works:
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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