Search Results - subject:"ARFIMA Model" - EconBiz

Una extension de la regresion propuesta por Geweke y Porter-Hudak para la estimacion del orden de diferenciacion en modelos ARFIMA

Fanals, Ernest Pons; Caralt, Jordi Surinach - Facultat d'Economia i Empresa, Universitat de Barcelona - 2000

Over the last years there has been considerable interest in the application of long memory time series models in economics using ARFIMA models. Nowadays, the most popular estimator of the difference parameter in economic applications is that proposed by Geweke and Porter-Hudak (GPH) although has...

Persistent link: https://www.econbiz.de/10005022322

Dynamic factor analysis with ARMA factors

Heaton, Christopher; Solo, Victor - 2000

Persistent link: https://www.econbiz.de/10001509585

Selection and estimation of component models for seasonal time series

Haywood, John; Tunnicliffe-Wilson, Granville - In: Journal of forecasting 19 (2000) 5, pp. 393-417

Persistent link: https://www.econbiz.de/10001515086

The use of canonical correlation analysis to identify the order of multivariate ARMA models : simulation and application

Toscano, Ela Mercedes M.; Reisen, Valdério Anselmo - In: Journal of forecasting 19 (2000) 5, pp. 441-456

Persistent link: https://www.econbiz.de/10001515090

Improving the process of forecasting

Chen, Shaw-kuan; Jarrett, Jeffrey E. - In: Economic & financial modelling : a journal of the … 7 (2000) 2, pp. 53-72

Persistent link: https://www.econbiz.de/10001518936

On the structure of cointegration

Deistler, Manfred; Wagner, Martin - In: Optimization, dynamics, and economic analysis : essays …, (pp. 368-374). 2000

Persistent link: https://www.econbiz.de/10001497188

Semiparametric estimation of long-memory volatility dependencies : the role of high-frequency data

Bollerslev, Tim; Wright, Jonathan H. - In: Journal of econometrics 98 (2000) 1, pp. 81-106

Persistent link: https://www.econbiz.de/10001497682

A look at the quality of the approximation of the functional central limit theorem

Perron, Pierre; Mallet, Sylvie - In: Economics letters 68 (2000) 3, pp. 225-234

Persistent link: https://www.econbiz.de/10001499193

Minimum dispersion and unbiasedness : "best" linear predictors for stationary ARMA α-stable processes

Hill, Jonathan B. (contributor) - 2000

Persistent link: https://www.econbiz.de/10001504086

Estimating non-linear ARMA models using Fourier coefficients

Ludlow, Jorge; Enders, Walter - In: International journal of forecasting 16 (2000) 3, pp. 333-347

Persistent link: https://www.econbiz.de/10001504668

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