Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration
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More about this item
Keywords
Multivariate Long Memory; Fractional Cointegration; Random Level Shifts; Semiparametric Estimation;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-2019-09-30 (Econometrics)
- NEP-ETS-2019-09-30 (Econometric Time Series)
- NEP-ORE-2019-09-30 (Operations Research)
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