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

Søren Johansen, Morten Ørregaard Nielsen

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

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@article{7f9772a16d1a427caf295ac30d129fa2,

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

author = "S{\o}ren Johansen and Nielsen, {Morten {\O}rregaard}",

year = "2015",

month = may,

day = "11",

doi = "10.1017/S0266466615000110",

language = "Dansk",

volume = "32",

pages = "1095--1139",

journal = "Econometric Theory",

issn = "0266-4666",

publisher = "Cambridge University Press",

}

TY - JOUR

T1 - THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

AU - Johansen, Søren

AU - Nielsen, Morten Ørregaard

PY - 2015/5/11

Y1 - 2015/5/11

U2 - 10.1017/S0266466615000110

DO - 10.1017/S0266466615000110

M3 - Tidsskriftartikel

VL - 32

SP - 1095

EP - 1139

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

ER -