Estimating the differencing parameter via the partial autocorrelation function
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Publication:1586563
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Cites work
- A minimum distance estimator for long-memory processes
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Fractional differencing
- Fractional integration analysis of long-run behavior for US macroeconomic time series
- Long memory processes and fractional integration in econometrics
- Long-Term Memory in Stock Market Prices
- TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
Cited in
(8)- On the estimation of the autocrrelation function
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- Partial autocorrelation parameterization for subset autoregression
- Time series properties of aggregated AR(2) processes
- Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.
- 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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