Long memory and fractional cointegration with deterministic trends
We discuss the estimation of the order of integration of a fractional process that may be contaminated by a time-varying deterministic component, or subject to a break in the dynamics of the zero-mean stochastic component, and the estimation of the cointegrating parameter in a bivariate system gener...
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London School of Economics and Political Science (University of London)
2006
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.428012 |