Estimating fractionally integrated time series models

DOI10.1016/0165-1765(93)90026-9zbMATH Open0800.62778OpenAlexW2094239023MaRDI QIDQ1319620FDOQ1319620

Authors: Steve Beveridge, Cyril Oickle 

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)

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Title not available (Why is that?)

Cited In (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

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