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Asymptotic inference results for multivariate long memory processes

Dolado, Juan J and Marmol, Francesc

Asymptotic inference results for multivariate long memory processes J5709 2004 - 2004 - 168-190 V. 07 Issue. 1

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Vector fractionally integrated processes;Fractional cointegration;Granger causality;Performanent income hypothesis;

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