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    • Fixed bandwidth inference for fractional cointegration 

      Hualde Bilbao, Javier Upna; Iacone, Fabrizio (Wiley, 2019)   Artículo / Artikulua  OpenAccess
      In a fractional cointegration setting we derive the fixed bandwidth limiting theory of a class of estimators of the cointegrating parameter which are constructed as ratios of weighted periodogram averages. These estimators ...