TY  - RPRT
AU  - Asai, Manabu
AU  - Peiris, Shelton
AU  - McAleer, Michael
AU  - Allen, David E.
PY  - 2018
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17439
AB  - Recent developments in econometric methods enable estimation and testing of general long memory process, which include the general Gegenbauer process. This paper considers the error correction model for a vector general long memory process, which...
LA  - eng
KW  - Long Memory Processes
KW  - Gegenbauer Process
KW  - Dickey-Fuller Tests
KW  - Cointegration
KW  - Differencing
KW  - Interest Rates.
TI  - Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates
TY  - technical report
VL  - 2018
ER  -