Bayesian analysis of long memory and persistence using ARFIMA models
DOI10.1016/0304-4076(95)01787-9zbMATH Open0873.62091OpenAlexW2568478090MaRDI QIDQ1362033FDOQ1362033
M. F. J. Steel, Jacek Osiewalski, Gary Koop, Eduardo Ley
Publication date: 4 November 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01787-9
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impulse responsestime seriesmodel uncertaintyunit roottrend stationarityARFIMA modelsARIMA alternativesautoregressive fractionally integrated moving average modelsreal U.S. GNP
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- Are Output Fluctuations Transitory?
- Robust Bayesian inference in elliptical regression models
- Title not available (Why is that?)
- Bias in the sample autocorrelations of fractional noise
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Cited In (12)
- Data analysis using regression models with missing observations and long-memory: an application study
- A Bayesian approach to estimating the long memory parameter
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Bayesian Inference for ARFIMA Models
- Bayesian inference for a mixture double autoregressive model
- Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
- BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
- Indirect estimation of ARFIMA and VARFIMA models
- Fast Bayesian estimation for VARFIMA processes with stable errors
- First-order bias correction for fractionally integrated time series
- Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
- Bayesian estimation of fractional difference parameter in ARFIMA models and its application
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