Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries

DOI10.1023/A:1011640512990zbMath0998.62073OpenAlexW1538762829MaRDI QIDQ5953179

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Publication date: 28 November 2002

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1011640512990

zbMATH Keywords

cointegrationfractional integrationlong memory processescomovementDickey-Fuller testsGARMA modelsinternational interest rates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (5)

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ State space modeling of Gegenbauer processes with long memory ⋮ Cointegrated dynamics for a generalized long memory process: application to interest rates ⋮ Inference for estimators of generalized long memory processes ⋮ TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

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