Fractional integration, trend stationarity and difference stationarity

DOI10.1016/0165-1765(95)00721-0zbMath0900.90184OpenAlexW2092312706MaRDI QIDQ672762

Marcus J. Chambers

Publication date: 28 February 1997

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

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00721-0

zbMATH Keywords

Frequency domainDifference stationarityFractional ARIMA modelTrend stationarity

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

Trend stationarity versus long-range dependence in time series analysis

Cites Work

• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Fractional differencing
• Time Series Regression with a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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