Likelihood based inference for an Identifiable Fractional Vector Error Correction Model
Abstract We consider the Fractional Vector Error Correction model proposed in Avarucci
(2007), which is characterized by a richer lag structure than the models proposed in Granger …
(2007), which is characterized by a richer lag structure than the models proposed in Granger …
[PDF][PDF] Anew ESTIMATION METHOD OF A FRACTIONAL COINTEGRATED MODEL
Abstract We consider the Fractional Vector Error Correction model proposed in Avarucci
(2007), which is characterized by a richer lag structure than the models proposed in Granger …
(2007), which is characterized by a richer lag structure than the models proposed in Granger …
[图书][B] Essays on Fractional Filters and Co-Integration
F Carlini - 2017 - pure.au.dk
This thesis was written in the period from September 2011 to December 2016 during my
graduate studies at the Department of Economics and Business Economics at Aarhus …
graduate studies at the Department of Economics and Business Economics at Aarhus …
On an Estimation Method for an Alternative Fractionally Cointegrated Model
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci
(2007), which is characterized by a richer lag structure than models proposed in Granger …
(2007), which is characterized by a richer lag structure than models proposed in Granger …