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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Format: | Doctoral Thesis |
Language: | English |
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Handelshögskolan i Stockholm, Ekonomisk Statistik (ES)
1998
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Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-667 http://nbn-resolving.de/urn:isbn:91-7258-467-X |