Estimating fractionally integrated time series models

DOI10.1016/0165-1765(93)90026-9MaRDI QIDQ1319620zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional differencing
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(3)

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

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