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Keyword: wald tests.;
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Fabrizio Iacone and Peter M Robinson
We consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial and generalized polynomial trends. In view of the consequent competition between stochastic and det...Read more...
Ramdan Dridi and Eric Renault
We develop in this paper a generalization of the Indirect Inference (II) to semi-parametric settings and termed Semi-parametric Indirect Inference (SII). We introduce a new notion of Partial Encompassing which lays the e...Read more...