Nelson And Plosser Revisited: Evidence From Fractional Arima Models
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- 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.
- Gil-Alana, L., 1998. "Nelson and Plosser Revisited: Evidence from Fractional Arima Models," Economics Working Papers eco98/21, European University Institute.
More about this item
- 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; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-21 (All new papers)
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