Nelson and Plosser Revisited: Evidence from Fractional Arima Models
AbstractFractionally integrated ARMA (ARFIMA) models are investigated in an Extended version of Nelson and Plosser's (1982) data set.
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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number eco98/21.
Length: 36 pages
Date of creation: 1998
Date of revision:
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ECONOMIC MODELS ; TIME SERIES ; TESTS;
Other versions of this item:
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Nelson And Plosser Revisited: Evidence From Fractional Arima Models," Public Policy Discussion Papers 04-16, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Nelson And Plosser Revisited: Evidence From Fractional Arima Models," Economics and Finance Discussion Papers 04-16, Economics and Finance Section, School of Social Sciences, Brunel University.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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