An Extension of Cointegration to Fractional Autoregressive Processes

Erhverv og økonomi

• Asymptotic Analysis 27%
• Asymptotic Distribution 22%
• Asymptotic Properties 23%
• Autoregressive Process 74%
• Cointegration 100%
• Estimator 45%
• Fractional Brownian Motion 27%
• Likelihood Ratio Test 23%
• Moment Conditions 25%
• Statistical Analysis 21%
• Test Statistic 20%
• Vector Autoregressive Model 20%