Nelson and Plosser Revisited: Evidence from Fractional Arima Models.

Fractionally integrated ARMA (ARFIMA) models are investigated in an Extended version of Nelson and Plosser's (1982) data set.

Year of publication:	1998
Authors:	Gil-Alana, L.
Institutions:	Department of Economics, European University Institute
Subject:	ECONOMIC MODELS \| TIME SERIES \| TESTS

Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	36 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005697726