The making of Estimation of Common Long-Memory Components in Cointegrated Systems

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dc.contributor.author Gonzalo, Jesús
dc.date.accessioned 2012-11-26T16:09:06Z
dc.date.available 2013-03-23T23:00:08Z
dc.date.issued 2010-03-24
dc.identifier.bibliographicCitation Journal of Financial Econometrics, 2010, v. 8, n. 2, pp. 174-176
dc.identifier.issn 1479-8409
dc.identifier.uri http://hdl.handle.net/10016/15930
dc.description.abstract The eighties were very good years for music as well as econometrics. In timeseries econometrics, the first half of that decade was dominated by research on unit roots while cointegration was the queen of the second half. Estimation and testing of a cointegrated system were the key questions to answer. When I started my dissertation at the end of the eighties, under the supervision of Clive Granger and Robert Engle, you could sense that everyone was of the opinion that the testing problem of the cointegration rank had been solved by Johansen (1988).
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Oxford University Press 
dc.rights © The Author 2010. Published by Oxford University Press. All rights reserved.
dc.subject.other Long-memory components
dc.subject.other Cointegration
dc.title The making of Estimation of Common Long-Memory Components in Cointegrated Systems
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1093/jjfinec/nbq014
dc.subject.eciencia Economía
dc.identifier.doi 10.1093/jjfinec/nbq014
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 174
dc.identifier.publicationissue 2
dc.identifier.publicationlastpage 176
dc.identifier.publicationtitle Journal of Financial Econometrics
dc.identifier.publicationvolume 8
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