A permanent-transitory decomposition for ARFIMA processes

DOI10.1016/S0378-3758(03)00190-3MaRDI QIDQ1878834zbMATH OpenFDO

Authors Miguel A. Ariño, F. Marmol

Publication date 9 September 2004

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

CycleUnemploymentLong memoryTrend

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A simple linear time series model with misleading nonlinear properties
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Asymptotics for linear processes
• BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS
• Econometric specification of stochastic discount factor models
• Fractional differencing

Cited in

(7)

• Multivariate modelling of long memory processes with common components
• Unobserved components models with correlated disturbances
• An omnibus noise filter
• The Beveridge-Nelson Decomposition: A Different Perspective with New Results
• Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference
• Spurious regression
• Detecting stock market turning points using wavelet leaders method

Describes a project that uses

Uses Software

• ARFIMA

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