A mean square error criterion is proposed in this paper to provide a systematic approach to approximate a long-memory time series by a short-memory ARMA(1, 1) process. Analytic expressions are derived to assess the effect of such an approximation. These results are established not only for the...

We introduce a long-memory dynamic Tobit model, defining it as a censored version of a fractionally integrated Gaussian ARMA model, which may include seasonal components and|or additional regression variables. Parameter estimation for such a model using standard techniques is typically...