Listar Artículos de revista DE - ES Aldizkari artikuluak por tema "Fractional cointegration"
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Fixed bandwidth inference for fractional cointegration
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 ... -
Small‐b and fixed‐b asymptotics for weighted covariance estimation in fractional cointegration
In a standard cointegrating framework, Phillips (1991) introduced the weighted covariance (WC) estimator of cointegrating parameters. Later, Marinucci (2000) applied this estimator to fractional circumstances and, like ...