INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
نویسندگان
چکیده
منابع مشابه
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated proce...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2002
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466602183046