Estimating the differencing parameter via the partial autocorrelation function

DOI10.1016/S0304-4076(99)00076-7zbMATH Open0968.62061OpenAlexW2156385490MaRDI QIDQ1586563FDOQ1586563

Terence T. L. Chong

Publication date: 17 September 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00076-7

zbMATH Keywords

fractionally integrated modeldifferencing parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• A minimum distance estimator for long-memory processes
• Long memory processes and fractional integration in econometrics
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Long-Term Memory in Stock Market Prices
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Fractional integration analysis of long-run behavior for US macroeconomic time series
• TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION

Cited In (8)

• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• On the estimation of the autocrrelation function
• Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.
• Time series properties of aggregated AR(2) processes
• Partial autocorrelation parameterization for subset autoregression
• The polynomial aggregated AR(1) model*
• An Omnibus Test for Time Series ModelI(d)
• On the sample variance of explosive random coefficient autoregressive processes

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