Estimation of fractional integration in the presence of data noise

DOI10.1016/j.csda.2006.02.005zbMath1161.62325OpenAlexW1970874681MaRDI QIDQ1019941

Morten Ørregaard Nielsen, Niels Haldrup

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.02.005

zbMATH Keywords

outliersfractional integrationlong memorystructural changemeasurement errors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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Uses Software

• Ox
• ARFIMA

Cites Work

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