Efficient inference in multivariate fractionally integrated time series models
Nielsen, Morten orregaard Nielsen
Efficient inference in multivariate fractionally integrated time series models J5709 2004 - 2004 - 63-97 V. 07 Issue. 1
Econometrics
Asymptotic local power;Efficient estimation;Efficient test;Fractional integration;Multivariate ARFIMA model;Multivariate fractional unit root;Nonstationarity;Stationarity test;
Efficient inference in multivariate fractionally integrated time series models J5709 2004 - 2004 - 63-97 V. 07 Issue. 1
Econometrics
Asymptotic local power;Efficient estimation;Efficient test;Fractional integration;Multivariate ARFIMA model;Multivariate fractional unit root;Nonstationarity;Stationarity test;