Estimating the differencing parameter via the partial autocorrelation function
type: Item
instance of: scholarly article
title: Estimating the differencing parameter via the partial autocorrelation function
zbMATH Open document ID: 0968.62061
DOI: 10.1016/S0304-4076(99)00076-7
author: Terence T. L. Chong
published in: Journal of Econometrics
publication date: 2001-09-17T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1529237
zbMATH Keywords: differencing parameter
zbMATH Keywords: fractionally integrated model
MaRDI profile type: Publication
cites work: Long memory processes and fractional integration in econometrics
cites work: TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
cites work: Fractional integration analysis of long-run behavior for US macroeconomic time series
cites work: THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
cites work: Fractional differencing
cites work: ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
cites work: Long-Term Memory in Stock Market Prices
cites work: A minimum distance estimator for long-memory processes
full work available at URL: s0304-4076(99)00076-7
OpenAlex ID: W2156385490
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description: scientific article; zbMATH DE number 1529237