THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES...

Econometric Theory 2016 / 10 Vol. 32; Iss. 5

THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

Johansen, Søren, Nielsen, Morten Ørregaard
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Volume:
32
Language:
english
Journal:
Econometric Theory
DOI:
10.1017/S0266466615000110
Date:
October, 2016
File:
PDF, 433 KB
english, 2016
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