Efficient estimation of cointegrating relationship among higher order and fractionally integrated processes

• Autores: Francesc Marmol, Juan José Dolado
• Localización: Documentos de trabajo - Banco de España, ISSN 0213-2710, Nº 17, 1996, págs. 5-37
• Idioma: inglés
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• Resumen

  • In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.