Carlini , Federico ; Lasak , Katarzyna Working Paper On an Estimation Method for an Alternative Fractionally Cointegrated Model

@inproceedings{Carlini2014CarliniF,
  title={Carlini , Federico ; Lasak , Katarzyna Working Paper On an Estimation Method for an Alternative Fractionally Cointegrated Model},
  author={Federico Carlini and Katarzyna Lasak},
  year={2014}
}
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following the ideas in Carlini and Santucci de Magistris (2014) for the… CONTINUE READING