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- W2078162703 endingPage "511" @default.
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- W2078162703 abstract "A semiparametric multivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I(0) unobservable inputs having nonparametric spectral density. Two estimates of the vector of cointegrating parameters ν are considered. One involves inverse spectral weighting and the other is unweighted but uses a spectral estimate at frequency zero. Both corresponding Wald statistics for testing linear restrictions on ν are shown to have a standard null χ2 limit distribution under quite general conditions. Notably, this outcome is irrespective of whether cointegrating relations are “strong” (when the difference between integration orders of observables and cointegrating errors exceeds 1/2), or “weak” (when that difference is less than 1/2), or when both cases are involved. Finite-sample properties are examined in a Monte Carlo study and an empirical example is presented." @default.
- W2078162703 created "2016-06-24" @default.
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- W2078162703 creator A5050189962 @default.
- W2078162703 date "2010-08-01" @default.
- W2078162703 modified "2023-09-23" @default.
- W2078162703 title "Semiparametric inference in multivariate fractionally cointegrated systems" @default.
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- W2078162703 doi "https://doi.org/10.1016/j.jeconom.2010.04.002" @default.
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