Asymptotic normality of narrow-band least squares in the stationary [An article from

Author: B.J. Christensen
Edition:
Binding: Digital
ISBN: B000PA9XSU

Asymptotic normality of narrow-band least squares in the stationary [An article from: Journal of Econometrics]

This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2006. Get Asymptotic normality of narrow-band least squares in the stationary [An article from computer books for free.
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Description:
We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson (1994b. Annals of Statistics 22, 515-539) and uses a degenerating part of the periodogram near the origin to form a narrow-band frequency domain least squares (FDLS) estimator of the cointegrating relation, Check Asymptotic normality of narrow-band least squares in the stationary [An article from our best computer books for 2013. All books are available in pdf format and downloadable from rapidshare, 4shared, and mediafire.

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The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
We consider semiparametric frequency domain analysis of cointegration between long memory processes, i Annals of Statistics 22, 515-539) and uses a degenerating part of the periodogram near the origin to form a narrow-band frequency domain least squares (FDLS) estimator of the cointegrating relation,

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