Fixed bandwidth inference for fractional cointegration

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



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
  • Accepted: 17 January 2019
  • 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: 06 Dec 2023 12:57
Published Version:
Status: Published
Refereed: Yes
Identification Number:
Related URLs:


Filename: _RUUIFV5.pdf

Description: Fixed bandwidth inference for fractional cointegration