Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
Work
Year: 2018
Type: article
Abstract: We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen ... more
Source: Journal of Time Series Analysis
Cites: 21
Cited by: 24
Related to: 10
FWCI: 5.264
Citation percentile (by year/subfield): 99.99
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: green
Funder Danmarks Grundforskningsfond
Grant ID DNRF78