Advanced Search
MyIDEAS: Login to save this paper or follow this series

Estimating the Differencing Parameter Via the Partial Autocorrelation Function

Contents:

Author Info

  • Terence Tai-Leung, Chong

Abstract

No abstract is available for this item.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

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

as in new window
Length:
Date of creation: Jan 1998
Date of revision:
Handle: RePEc:chk:cuhked:_088

Contact details of provider:

Related research

Keywords:

Other versions of this item:

References

References listed on IDEAS
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.:
as in new window
  1. David K. Backus & Stanley E. Zin, 1993. "Long-memory inflation uncertainty: evidence from the term structure of interest rates," Proceedings, Federal Reserve Bank of Cleveland, pages 681-708.
  2. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, Elsevier, vol. 53(1-3), pages 165-188.
  3. Diebold, Francis X & Husted, Steven & Rush, Mark, 1991. "Real Exchange Rates under the Gold Standard," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 99(6), pages 1252-71, December.
  4. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, Elsevier, vol. 24(2), pages 189-209, September.
  5. 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, Elsevier, vol. 1(1), pages 83-106, June.
  6. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
  7. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(1), pages 37-45, January.
  8. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(2), pages 277-302, April.
  9. Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers, Michigan State - Econometrics and Economic Theory 9103, Michigan State - Econometrics and Economic Theory.
  10. Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T., 1996. "A minimum distance estimator for long-memory processes," Journal of Econometrics, Elsevier, Elsevier, vol. 71(1-2), pages 249-264.
  11. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 5-59, July.
  12. 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.
  13. Shea, Gary S, 1991. "Uncertainty and Implied Variance Bounds in Long-Memory Models of the Interest Rate Term Structure," Empirical Economics, Springer, Springer, vol. 16(3), pages 287-312.
  14. Chung, Ching-Fan & Baillie, Richard T, 1993. "Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models," Empirical Economics, Springer, Springer, vol. 18(4), pages 791-806.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.
  2. repec:ebl:ecbull:v:3:y:2006:i:12:p:1-10 is not listed on IDEAS
  3. repec:ebl:ecbull:v:3:y:2007:i:67:p:1-10 is not listed on IDEAS
  4. Aaron D. Smallwood & Paul M. Beaumont, 2002. "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002, Society for Computational Economics 285, Society for Computational Economics.
  5. repec:ebl:ecbull:v:3:y:2007:i:2:p:1-10 is not listed on IDEAS
  6. Terence Tai-Leung Chong & Chi-Leung Wong & Venus Liew, 2006. "Estimation of the Autoregressive Order in the Presence of Measurement Errors," Economics Bulletin, AccessEcon, vol. 3(12), pages 1-10.
  7. 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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:chk:cuhked:_088. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.