On an Estimation Method for an Alternative Fractionally Cointegrated Model
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- Federico Carlini & Katarzyna Lasak, 2014. "On an Estimation Method for an Alternative Fractionally Cointegrated Model," Tinbergen Institute Discussion Papers 14-052/III, Tinbergen Institute.
References listed on IDEAS
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More about this item
Keywords
Error correction model; Gaussian VAR model; Fractional Cointegration; Estimation algorithm; Maximum likelihood estimation; Switching Algorithm; Reduced Rank Regression;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-05-09 (Econometrics)
- NEP-ETS-2014-05-09 (Econometric Time Series)
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