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Keyword: unknown integration orders;
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Javier Hualde and Peter M Robinson
A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I (0) unobservable inputs having nonparametric spectral density. Two kinds of estimate of the coint...Read more...
The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is complet...Read more...