Description Usage Arguments Details References See Also Examples
Semiparametric estimator for the cointegrating vector as suggested
by Nielsen and Frederiksen (2011). Refines the FDLS
estimator by allowing for long run coherence between the regressors
and the errors.
1 |
X |
data matrix. |
Y |
data matrix. |
m0 |
bandwidth parameter. |
m1 |
bandwidth parameter. |
m2 |
bandwidth parameter. |
m3 |
bandwidth parameter. |
method |
one from |
add details here. Especially on the selection of all these bandwidth parameters. carefull: it is not clear, whether HP an be used here.
Nielsen and Frederiksen (2011): Fully modified narrow-band least squares estimation of weak fractional cointegration. The Econometrics Journal, 14, pp. 77-120.
FDLS
, local.W
, Hou.Perron
, ELW
1 2 3 4 5 6 7 8 9 10 11 12 13 14 |
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