APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL
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Publication:3583032
DOI10.1017/S1365100509991052zbMath1193.91111MaRDI QIDQ3583032
Douglas M. Patterson, Richard A. Ashley
Publication date: 26 August 2010
Published in: Macroeconomic Dynamics (Search for Journal in Brave)
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
Uses Software
Cites Work
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