The Estimation and Testing of the Cointegration Order Based on the Frequency Domain-Reference-Cited by-同舟云学术

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The Estimation and Testing of the Cointegration Order Based on the Frequency Domain

Published:2017-06-12 Issue:4 Volume:36 Page:695-704
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Souza Igor Viveiros Melo¹,Reisen Valderio Anselmo²,Franco Glaura da Conceição³,Bondon Pascal⁴

Affiliation:

1. DEECO, UFOP and Departamento de Estatística, UFMG, Rua do Catete, no. 166 Mariana, Minas Gerais 30420-000, Brazil ()

2. Departamento de Estatística, PPGECON, PPGEA, UFES, Av. Fernando Ferrari s/n Goiabeiras, Vitoria, Espírito Santo 29060-900, Brazil ()

3. Departamento de Estatística, UFMG, Av. Antonio Carlos, no. 6627 Predio do ICEx 4067 Belo Horizonte, Minas Gerais 31270-901, Brazil ()

4. Laboratoire des Signaux et Systèmes, CNRS - CentraleSupélec Université Paris-Sud, France (

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2016.1251442

Reference35 articles.

1. Long-run relationships between international stock prices: further evidence from fractional cointegration tests

2. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

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