• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Facilities
    • Admissions
  • Research
  • News
  • Events
    • Summer School
      • Crash Course in Experimental Economics
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Econometric Methods for Forecasting and Data Science
  • Times

18-085/III - Likelihood based inference for an Identifiable Fractional Vector Error Correction Model


  • Authors
    Federico Carlini, USI, Lugano; Katarzyna (K.A.) Lasak, University of Amsterdam
  • Publication date
    November 16, 2018
  • Keywords
    Error correction model, Gaussian VAR model, Fractional Cointegration, Estimation algorithm, Maximum likelihood estimation, Switching Algorithm, Reduced Rank Regression.
  • JEL
    C13, C32