Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
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Bibliographic InfoArticle provided by Springer in its journal Annals of the Institute of Statistical Mathematics.
Volume (Year): 59 (2007)
Issue (Month): 4 (December)
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Web page: http://www.springerlink.com/link.asp?id=102845
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Poskitt, Don S, 2000. "Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 77-90, January.
- Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
- Wang, Shin-Huei & Vasilakis, Chrysovalantis, 2013. "Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points," Economics Letters, Elsevier, vol. 118(2), pages 389-392.
- Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics.
- D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2012. "Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 9/12, Monash University, Department of Econometrics and Business Statistics.
- S. D. Grose & D. S. Poskitt, 2006. "The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers 15/06, Monash University, Department of Econometrics and Business Statistics.
- Hassler, Uwe, 2012. "Impulse responses of antipersistent processes," Economics Letters, Elsevier, vol. 116(3), pages 454-456.
- D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 8/12, Monash University, Department of Econometrics and Business Statistics.
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