Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes

Juan J. Dolado · Francisco Marmol Prieto

25 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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Centro de Informacion y Documentacion Cientifica (CINDOC). C/Joaquin Costa, 22. 28002 Madrid. SPAIN / CINDOC - Centro de Informaciòn y Documentaciòn Cientìfica

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1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1986Understanding spurious regressions in econometrics 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models 1986EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE*1988Statistical Inference in Regressions with Integrated Processes: Part 1 1989Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models 1996Long memory continuous time models 1995SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES

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2005FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS*

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