Modification of autoregressive fractionally integrated moving average models for the estimation of persistence

DOI10.1080/02664760021871MaRDI QIDQ4935544zbMATHOpenAlexFDO

Authors Erhard Reschenhofer

Publication date 31 January 2000

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760021871

zbMATH Keywords

ARFIMA processesestimated spectraUS GNP

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cited in

(3)

• Bias Correction of Persistence Measures in Fractionally Integrated Models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Testing for persistence change in fractionally integrated models: an application to world inflation rates

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