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Likelihood inference for a fractionally cointegrated vector autoregressive model
Søren Johansen
, Morten Ørregård Nielsen
Department of Economics
128
Citations (Scopus)
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Dive into the research topics of 'Likelihood inference for a fractionally cointegrated vector autoregressive model'. Together they form a unique fingerprint.
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Keyphrases
Chi-square
33%
Cointegrated Vector Autoregressive Model
100%
Cointegration Rank
33%
Constant Term
33%
Fractional Brownian Motion
33%
Gaussian Likelihood
33%
I(d)
33%
Likelihood Ratio Test
33%
Likelihood-free Inference
100%
Limiting Distribution
100%
Mixed Gaussian
33%
Model Inference
33%
Statistical Model
33%
Vector Autoregressive Model
66%
Mathematics
Autoregressive Model
100%
Cointegration
25%
Conditional Likelihood
25%
Constant Term
25%
Exist Vector
25%
Fractional Brownian Motion
25%
Gaussian Distribution
100%
Initial Value
25%
Likelihood Ratio Test
25%
Statistical Model
25%