Ooms, Marius; Doornik, J.A. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
We discuss computational aspects of likelihood-based specification, estimation,inference, and forecasting of possibly nonstationary series with long memory. We use the \\ARFIMA$(p,d,q)$ model with deterministic regressors and we compare sampling characteristics of approximate and exact...