Listar Documentos de trabajo DE - ES Lan Gaiak por autor UPNA "Hualde Bilbao, Javier"
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Estimation of the cointegrating rank in fractional cointegration
Hualde Bilbao, Javier
(2012)
Documento de trabajo / Lan gaiak 
This paper proposes an estimator of the cointegrating rank of a potentially cointegrated multivariate fractional process. Our setting is very flexible, allowing the individual observable processes to have different integration ... -
A simple test for the equality of integration orders
Hualde Bilbao, Javier (2012)
Documento de trabajo / Lan gaiak
A necessary condition for two time series to be nontrivially cointegrated is the equality of their respective integration orders. Thus, it is standard practice to test for order homogeneity prior to testing for cointegration. ...
