A permanent-transitory decomposition for ARFIMA processes
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Publication:1878834
DOI10.1016/S0378-3758(03)00190-3zbMath1094.62108MaRDI QIDQ1878834
Miguel A. Ariño, Francesc Marmol
Publication date: 9 September 2004
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
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Uses Software
Cites Work
- Econometric specification of stochastic discount factor models
- Asymptotics for linear processes
- A simple linear time series model with misleading nonlinear properties
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS
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