Approximate state space modelling of unobserved fractional components
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Publication:5862511
DOI10.1080/07474938.2020.1841444zbMath1490.62247arXiv1812.09142OpenAlexW3096511111MaRDI QIDQ5862511
Tobias Hartl, Roland Jucknewitz
Publication date: 9 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.09142
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Uses Software
Cites Work
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