Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Work
Year: 2012
Type: article
Abstract: We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model; based on the Gaussian likelihood conditional on initial values.We give conditions on the... more
Source: Econometrica
Cites: 52
Cited by: 290
Related to: 10
FWCI: 14.94
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: green