Estimating fractionally integrated time series models

DOI10.1016/0165-1765(93)90026-9zbMath0800.62778OpenAlexW2094239023MaRDI QIDQ1319620

Cyril Oickle, Steve Beveridge

Publication date: 12 April 1994

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

Full work available at URL: https://doi.org/10.1016/0165-1765(93)90026-9

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (3)

Bayesian analysis of long memory and persistence using ARFIMA models ⋮ Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models ⋮ First-order bias correction for fractionally integrated time series

Cites Work

• Unnamed Item
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

This page was built for publication: Estimating fractionally integrated time series models