Semiparametric frequency domain analysis of fractionally integrated and cointegrated time series
The concept of cointegration has principally been developed under the assumption that the raw data vector Zt is I(1) and the cointegrating residual et is I(0); we call this framework the CI(l) case. The purpose of this thesis is to consider more general fractional circumstances, where Zt is stationa...
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London School of Economics and Political Science (University of London)
1998
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645506 |