Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model
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DOI: 10.1016/j.econlet.2019.05.031
Abstract: Abstract We propose a filtration technique for making inference in systems with I ( 0 ) and I ( d ) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the… read more here.
Keywords: variables using; using fractionally; fractionally integrated; model ... See more keywords