Likelihood inference for a nonstationary fractional autoregressive model
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Publication:736555
DOI10.1016/j.jeconom.2010.03.006zbMath1431.62389OpenAlexW2170353114MaRDI QIDQ736555
Morten Ørregaard Nielsen, Søren Glud Johansen
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://ageconsearch.umn.edu/record/273648
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Fractional processes, including fractional Brownian motion (60G22)
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