Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach

QED Working Paper Number
1029

Author(s)

Morten Ørregaard Nielsen
Katsumi Shimotsu

JEL Codes

C14
C32

Keywords

Cointegration rank
fractional cointegration
fractional integration
long memory
nonstationarity
semiparametric estimation
exact local Whittle estimator

Working Paper

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