Estimating fractionally integrated time series models

DOI10.1016/0165-1765(93)90026-9zbMath0800.62778OpenAlexW2094239023MaRDI QIDQ1319620

Cyril Oickle, Steve Beveridge

Publication date: 12 April 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(93)90026-9

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items

Bayesian analysis of long memory and persistence using ARFIMA models, Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models, First-order bias correction for fractionally integrated time series

Cites Work

• Unnamed Item
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING