14-052/III - On an Estimation Method for an Alternative Fractionally Cointegrated Model

• Authors
  Federico Carlini, CREATES, Aarhus University, Denmark; Katarzyna Lasak, VU University Amsterdam
• Publication date
  May 1, 2014

• Keywords
  Error correction model, Gaussian VAR model, Fractional Cointegration, Estimation algorithm, Maximum likelihood estimation, Switching Algorithm, Reduced Rank Regression
• JEL
  C13, C32