Fractional integration analysis of long-run behavior for US macroeconomic time series

DOI10.1016/0165-1765(94)90025-6zbMath0800.90232OpenAlexW2090195563WikidataQ57710997 ScholiaQ57710997MaRDI QIDQ1331846

Philip Rothman, Nuno Crato

Publication date: 27 September 1994

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

Full work available at URL: https://doi.org/10.1016/0165-1765(94)90025-6

Mathematics Subject Classification ID

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

Related Items

Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes ⋮ Long memory processes and fractional integration in econometrics ⋮ Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications ⋮ The origin of fat-tailed distributions in financial time series ⋮ EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND ⋮ Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions ⋮ Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach ⋮ Estimation of fractional integration in the presence of data noise ⋮ Estimating the differencing parameter via the partial autocorrelation function ⋮ No-cointegration test based on fractional differencing: Some Monte Carlo results ⋮ A mean shift break in the US interest rate.

Uses Software

• ITSM

Cites Work

• Efficient parameter estimation for self-similar processes
• Are Output Fluctuations Transitory?
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