Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
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- 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.
References listed on IDEAS
- 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.
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999.
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Royal Economic Society, vol. 2(1), pages 107-160.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
- Bollerslev, Tim & Jubinski, Dan, 1999. "Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 9-21, January.
- Michael Dueker & Richard Startz, 1998. "Maximum-Likelihood Estimation Of Fractional Cointegration With An Application To U.S. And Canadian Bond Rates," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 420-426, August.
- Smith, Anthony A, Jr & Sowell, Fallaw & Zin, Stanley E, 1997.
"Fractional Integration with Drift: Estimation in Small Samples,"
Springer, pages 103-116.
- Tony Smith & Fallaw Sowell & Stanley Zin, "undated". "Fractional integration with Drift: Estimation in Small Samples," GSIA Working Papers 22, Carnegie Mellon University, Tepper School of Business.
- 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.
- Beveridge, Steve & Oickle, Cyril, 1993. "Estimating fractionally integrated time series models," Economics Letters, Elsevier, vol. 43(2), pages 137-142.
- Offer Lieberman, 2001. "Penalised Maximum Likelihood Estimation for Fractional Guassian Processes," Cowles Foundation Discussion Papers 1348, Cowles Foundation for Research in Economics, Yale University.
- Ooms, M. & Doornik, J.A., 1999. "Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation," Econometric Institute Research Papers EI 9947/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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