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An Extension of Cointegration to Fractional Autoregressive Processes
Søren Johansen
Department of Economics
637
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Dive into the research topics of 'An Extension of Cointegration to Fractional Autoregressive Processes'. Together they form a unique fingerprint.
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Business & Economics
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%