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14-021/III - Fractional Cointegration Rank Estimation


  • Authors
    Katarzyna Lasak, VU University Amsterdam, the Netherlands; Carlos Velasco, Universidad Carlos III de Madrid, Spain
  • Publication date
    February 13, 2014
  • Keywords
    Error correction model, Gaussian VAR model, Likelihood ratio tests, Maximum likelihood estimation
  • JEL
    C12, C15, C32