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Econometrics Paper
Semiparametric Estimation of Fractional Cointegration Javier Hualde and Peter M Robinson
May 2006
Paper No' EM/2006/502:
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JEL Classification: C32


Tags: fractional cointegration; semiparametric model; unknown integration orders.

Econometrics Paper
Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in 'Journal of Time Series Analysis', 18 (1997), pp.49-60.) Liudas Giraitis, Peter M Robinson and Alexander Samarov February 1997
Paper No' EM/1997/323:
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Tags: long-range dependence; semiparametric models; optimal rates of convergence; lower bounds