{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,3]],"date-time":"2026-10-03T22:58:30Z","timestamp":1791068310550,"version":"4.1.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[1999,8,1]],"date-time":"1999-08-01T00:00:00Z","timestamp":933465600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1999,8]]},"abstract":"<jats:p>Vector valued autoregressive models with fractionally \nintegrated errors are considered. The possibility of the \ncoefficient matrix of the model having eigenvalues with \nabsolute values equal or close to unity is included. Quadratic \napproximation to the log-likelihood ratios in the vicinity \nof auxiliary estimators of the parameters is obtained and \nused to make a rough identification of the approximate \nunit eigenvalues, including complex ones, together with \ntheir multiplicities. Using the identification thus obtained, \nthe stationary linear combinations (cointegrating relationships) \nand the trends that induce the nonstationarity are identified, \nand Wald-type inference procedures for the parameters associated \nwith them are constructed. As in the situation in which \nthe errors are independent and identically distributed \n(i.i.d.), the limiting behaviors are nonstandard in the \nsense that they are neither normal nor mixed normal. In \naddition, the ordinary least squares procedure, which works \nreasonably well in the i.i.d. errors case, becomes severely \nhandicapped to adapt itself approximately to the underlying \nmodel structure, and hence its behavior is significantly \ninferior in many ways to the procedures obtained here.<\/jats:p>","DOI":"10.1017\/s0266466699154057","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"583-621","source":"Crossref","is-referenced-by-count":35,"title":["ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH \nFRACTIONALLY INTEGRATED ERRORS"],"prefix":"10.1017","volume":"15","author":[{"given":"P.","family":"Jeganathan","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[1999,8,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466699154057","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,9,2]],"date-time":"2019-09-02T16:16:37Z","timestamp":1567440997000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466699154057\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1999,8]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1999,8]]}},"alternative-id":["S0266466699154057"],"URL":"https:\/\/doi.org\/10.1017\/s0266466699154057","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1999,8]]}}}