Data analysis using regression models with missing observations and long-memory: an application study
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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.
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"Bayesian analysis of long memory and persistence using ARFIMA models,"
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- KOOP , Gary & LEY , Eduardo & OSIEWALSKI , Jacek & STEEL , Mark, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," CORE Discussion Papers 1995035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Grassi, Stefano & Santucci de Magistris, Paolo, 2014.
"When long memory meets the Kalman filter: A comparative study,"
Computational Statistics & Data Analysis,
Elsevier, vol. 76(C), pages 301-319.
- Stefano Grassi & Paolo Santucci de Magistris, 2011. "When Long Memory Meets the Kalman Filter: A Comparative Study," CREATES Research Papers 2011-14, Department of Economics and Business Economics, Aarhus University.
- repec:eee:matcom:v:146:y:2018:i:c:p:27-43 is not listed on IDEAS
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