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Author: Yoshihiro Yajima
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Peter M Robinson and Yoshihiro Yajima
This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity. The setting ...Read more...
Javier Hidalgo and Yoshihiro Yajima
We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties ...Read more...