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Estimating the Differencing Parameter Via the Partial Autocorrelation Function

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  • Terence Tai-Leung, Chong

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Bibliographic Info

Paper provided by Chinese University of Hong Kong, Department of Economics in its series Departmental Working Papers with number _088.

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Date of creation: Jan 1998
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Handle: RePEc:chk:cuhked:_088

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References

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  1. Backus, David K & Zin, Stanley E, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 681-700, August.
  2. Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T., 1996. "A minimum distance estimator for long-memory processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 249-264.
  3. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
  4. Shea, Gary S, 1991. "Uncertainty and Implied Variance Bounds in Long-Memory Models of the Interest Rate Term Structure," Empirical Economics, Springer, vol. 16(3), pages 287-312.
  5. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
  6. Francis X. Diebold & Steven Husted & Mark Rush, 1990. "Real exchange rates under the gold standard," Discussion Paper / Institute for Empirical Macroeconomics 32, Federal Reserve Bank of Minneapolis.
  7. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
  8. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
  9. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  10. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
  11. Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers 9103, Michigan State - Econometrics and Economic Theory.
  12. Chung, Ching-Fan & Baillie, Richard T, 1993. "Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models," Empirical Economics, Springer, vol. 18(4), pages 791-806.
  13. Crato, Nuno & Rothman, Philip, 1994. "Fractional integration analysis of long-run behavior for US macroeconomic time series," Economics Letters, Elsevier, vol. 45(3), pages 287-291.
  14. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
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Cited by:
  1. Aaron D. Smallwood & Paul M. Beaumont, 2002. "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002 285, Society for Computational Economics.
  2. Chong, Terence Tai-leung & Wong, Kwan-to, 2001. "Time series properties of aggregated AR(2) processes," Economics Letters, Elsevier, vol. 73(3), pages 325-332, December.
  3. repec:ebl:ecbull:v:3:y:2007:i:2:p:1-10 is not listed on IDEAS
  4. repec:ebl:ecbull:v:3:y:2006:i:12:p:1-10 is not listed on IDEAS
  5. Inoue, Akihiko & Kasahara, Yukio, 2004. "Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 135-147, April.
  6. repec:ebl:ecbull:v:3:y:2007:i:67:p:1-10 is not listed on IDEAS

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