Nielsen, Morten orregaard Nielsen <br/><br/>
Efficient inference in multivariate fractionally integrated time series models 
 J5709  2004 

 -  2004 
 - 63-97  V.  07  Issue.   1 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Econometrics
<br/><br/><label>Subjects--Index Terms: </label>Asymptotic local power;Efficient estimation;Efficient test;Fractional integration;Multivariate ARFIMA model;Multivariate fractional unit root;Nonstationarity;Stationarity test;