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Fractional integration with Drift: Estimation in Small Samples

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Tony Smith
Fallaw Sowell
Stanley Zin

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Paper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 22.

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Handle: RePEc:cmu:gsiawp:22

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  1. Emma M. Iglesias & Garry D. A. Phillips, 2005. "Analysing one-month Euro-market interest rates by fractionally integrated models," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 95-106, January. [Downloadable!] (restricted)
  2. Jurgen Doornik & Marius Ooms, 2004. "Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 1218-1218. [Downloadable!] (restricted)
  3. M. Ooms & J.A. Doornik, 1999. "Inference and forecasting for fractional autoregressive integrated moving average models; with an application to US and UK inflation," Econometric Institute Report 171, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  4. Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Trinity Economics Papers tep2006, Trinity College Dublin, Department of Economics. [Downloadable!]
  5. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics. [Downloadable!]
  6. James G. MacKinnon & Anthony A. Smith, 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics. [Downloadable!]
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  7. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor and Francis Journals, vol. 17(2), pages 95-116, April. [Downloadable!] (restricted)
  8. Ana Pérez & Esther Ruiz, 2001. "Modelos De Memoria Larga Para Series Económicas Y Financieras," Documentos de Trabajo de Estadística y Econometría ds010101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  9. Jurgen A. Doornik & Marius Ooms, 2001. "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Papers 2001-W27, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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