Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference

DOI10.1080/02664763.2013.825706MaRDI QIDQ5129156zbMATH OpenOpenAlexFDO

Authors Abdul Aziz Karia, Imbarine Bujang, Ismail Ahmad

Publication date 26 October 2020

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

Full work available at URL https://doi.org/10.1080/02664763.2013.825706

zbMATH Keywords

crude palm oil pricesfirst-order differencingforecastfractionally integratedoverdifference

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A permanent-transitory decomposition for ARFIMA processes
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Efficient Tests for an Autoregressive Unit Root
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Fractional differencing
• Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Long memory and regime switching
• Long memory processes and fractional integration in econometrics
• Long memory relationships and the aggregation of dynamic models
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
• Some simulations and applications of forecasting long-memory time-series models
• Testing for a unit root in time series regression
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

Cited in

(1)

• Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions

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