On testing and forecasting in fractionally integrated time series models

On testing and forecasting in fractionally integrated time series models

This volume contains five essays in the field of time series econometrics. All five discuss properties of fractionally integrated processes and models. The first essay, entitled Do Long-Memory Models have Long Memory?, demonstrates that fractional integration can enhance the memory of ARMA processes...

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Bibliographic Details
Main Author: Andersson, Michael K.
Format: Doctoral Thesis
Language:English
Published: Handelshögskolan i Stockholm, Ekonomisk Statistik (ES) 1998
Subjects:
Long memory
Bootstrap testing
Fractional Cointegration
Econometrics
Ekonometri
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-667
http://nbn-resolving.de/urn:isbn:91-7258-467-X

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-667
http://nbn-resolving.de/urn:isbn:91-7258-467-X

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