Johansen, Søren; Nielsen, Morten Ørregaard - Økonomisk Institut, Københavns Universitet - 2007
This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d – b; where d ≥ b 1/2 are parameters to be estimated. We model the data X, …, Xт given the...