Fractionally Integrated Long Horizon Regressions

DOI10.2202/1558-3708.1337MaRDI QIDQ5452768zbMATH OpenOpenAlexFDO

Authors Jin Lee

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1337

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Long memory processes and fractional integration in econometrics
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Fractional Cointegration
• Long memory, fractional integration, and cross-sectional aggregation
• Long-run covariance matrices for fractionally integrated processes
• The spurious regression of fractionally integrated processes

Cited in

(3)

• SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
• Adjusting for bias in long horizon regressions using R
• Spurious regression

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