Estimating the Differencing Parameter Via the Partial Autocorrelation Function
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Bibliographic InfoPaper provided by Chinese University of Hong Kong, Department of Economics in its series Departmental Working Papers with number _088.
Date of creation: Jan 1998
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Other versions of this item:
- Chong, Terence Tai-Leung, 2000. "Estimating the differencing parameter via the partial autocorrelation function," Journal of Econometrics, Elsevier, vol. 97(2), pages 365-381, August.
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.:
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- David K. Backus, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Working Papers 93-04, New York University, Leonard N. Stern School of Business, Department of Economics.
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9103, Michigan State - Econometrics and Economic Theory.
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- 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.
- Chong, Terence Tai-leung & Wong, Kwan-to, 2001.
"Time series properties of aggregated AR(2) processes,"
Elsevier, vol. 73(3), pages 325-332, December.
- Terence Tai-leung Chong & Kwan-to Wong, 2000. "Time Series Properties of Aggregated AR(2) Processes," Departmental Working Papers _130, Chinese University of Hong Kong, Department of Economics.
- repec:ebl:ecbull:v:3:y:2007:i:2:p:1-10 is not listed on IDEAS
- repec:ebl:ecbull:v:3:y:2006:i:12:p:1-10 is not listed on IDEAS
- 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.
- repec:ebl:ecbull:v:3:y:2007:i:67:p:1-10 is not listed on IDEAS
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