Search Results - subject:"Fractional differencing"

Semi-parametric procedures for Unit root and fractional cointegration tests

Valderio A. Reisen, DEST-UFES, Brazil; Santander, Luz A. M. - Society for Computational Economics - SCE - 2004

This paper considers the use of the long-memory, semi-parametric estimators to test unit-root and non-cointegrated processes under fractional alternatives. Critical-point values of the proposed tests are given for different sample sizes. The ADF test is used for comparison purposes. The...

Persistent link: https://www.econbiz.de/10005345270

Long Memory Inflationary Dynamics: The Case of Brazil

Reisen, Valderio; Cribari-Neto, Francisco; Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 7 (2003) 3, pp. 1157-1157

in Brazil are nearly fully inertial. We estimate the fractional differencing parameter using an ARFIMA specification for …

Persistent link: https://www.econbiz.de/10005246285

Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets

Tse, Y.K.; Anh, V.V.; Tieng, Q. - In: Mathematics and Computers in Simulation (MATCOM) 59 (2002) 1, pp. 153-161

fractional differencing parameter d in an ARFIMA(p, d, q) model based on the wavelet coefficients. Ignoring wavelet coefficients …

Persistent link: https://www.econbiz.de/10010748515