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