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Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach

Shimotsu, Katsumi; Orregaard Nielsen, Morton
2006
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Title
Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach
Keywords
Author(s)
Shimotsu, Katsumi
Orregaard Nielsen, Morton
Subject(s)
Issue Date
2006-01
Publication Type
Working or Discussion Paper
Digital Object Identifier
https://doi.org/10.22004/ag.econ.273467
Record Identifier
https://ageconsearch.umn.edu/record/273467
Language
English
Total Pages
34
JEL Codes
C14
C32
Series Statement
Working Paper No. 1029
Record Appears in
Queen's University - Department of Economics > Queen's Economics Department Working Papers

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