Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence Working Papers uri icon

authors

  • ERGEMEN, YUNUS EMRE
  • RODRIGUEZ CABALLERO, CARLOS VLADIMIR

publication date

  • 2017

series title

  • UC3M Working Papers. Statistics and Econometrics

series number

  • 17-08

keywords

  • Multi-level factor
    long-range dependence
    short memory
    fractional cointegration
    Nord Pool power market