The Role of Initial Values in Nonstationary Fractional Time Series Models
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The Role of Initial Values in Nonstationary Fractional Time Series Models. / Johansen, Søren; Nielsen, Morten Ørregaard.
Kbh. : Økonomisk institut, Københavns Universitet, 2012.Research output: Working paper › Research
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TY - UNPB
T1 - The Role of Initial Values in Nonstationary Fractional Time Series Models
AU - Johansen, Søren
AU - Nielsen, Morten Ørregaard
N1 - JEL Classication: C22
PY - 2012
Y1 - 2012
KW - Faculty of Social Sciences
KW - asymptotic expansion
KW - bias
KW - conditional inference
KW - fractional integration
M3 - Working paper
T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)
BT - The Role of Initial Values in Nonstationary Fractional Time Series Models
PB - Økonomisk institut, Københavns Universitet
CY - Kbh.
ER -
ID: 43213401