Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model
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DOI: 10.1016/j.econlet.2019.05.031
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References listed on IDEAS
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- Søren Johansen & Morten Ørregaard Nielsen, 2010. "Likelihood inference for a fractionally cointegrated vector autoregressive model," CREATES Research Papers 2010-24, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Long memory; Fractional co-integration; Model predictability;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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