18-085/III - Likelihood based inference for an Identifiable Fractional Vector Error Correction Model

• Authors
  Federico Carlini, USI, Lugano; Katarzyna (K.A.) Lasak, University of Amsterdam
• Publication date
  November 16, 2018

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