Stationary persistent time series misspecified as nonstationary arima

DOI10.1007/BF02926584zbMath0858.62085WikidataQ57710987 ScholiaQ57710987MaRDI QIDQ1815624

Howard M. Taylor, Nuno Crato

Publication date: 23 March 1997

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

overdifferencingautoregressive fractionally integrated moving-average processesfractional degree of integrationlong-memory modelsmean square forecasting errormisspecification errorsnonstationary ARFIMA processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Issues in the estimation of mis-specified models of fractionally integrated processes ⋮ Mean square prediction error for long-memory processes ⋮ On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives ⋮ Out-of-sample forecast errors in misspecific perturbed long memory processes.

Cites Work

• Unnamed Item
• Unnamed Item
• Time series: theory and methods.
• On the power of unit root tests against fractional alternatives
• The Fractional Unit Root Distribution
• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES

This page was built for publication: Stationary persistent time series misspecified as nonstationary arima