Modified information criteria and selection of long memory time series models

DOI10.1016/j.csda.2013.04.012zbMath1506.62018MaRDI QIDQ1623513

Fotis Papailias, George Kapetanios, Richard T. Baillie

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.04.012

zbMATH Keywords

long memory; modified information criteria; ARFIMA models

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

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

Related Items

Consistent order selection for ARFIMA processes, Unnamed Item

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