Fixed bandwidth inference for fractional cointegration

Hualde, Javier and Iacone, Fabrizio orcid.org/0000-0002-2681-9036 (2019) Fixed bandwidth inference for fractional cointegration. Journal of Time Series Analysis. 40. 544–572. ISSN 1467-9892

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Copyright, Publisher and Additional Information: © 2019 John Wiley & Sons Ltd. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details.
Keywords: Fixed bandwidth inference,fractional cointegration,generalized least squares,narrow band least squares,Statistics and Probability,Statistics, Probability and Uncertainty,Applied Mathematics
Dates:
  • Published (online): 12 March 2019
  • Published: July 2019
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 19 Mar 2019 17:10
Last Modified: 27 Mar 2020 00:26
Published Version: https://doi.org/10.1111/jtsa.12455
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1111/jtsa.12455
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Description: Fixed bandwidth inference for fractional cointegration

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