Estimating the Differencing Parameter Via the Partial Autocorrelation Function
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- Chong, Terence Tai-Leung, 2000. "Estimating the differencing parameter via the partial autocorrelation function," Journal of Econometrics, Elsevier, vol. 97(2), pages 365-381, August.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Terence Tai-Leung Chong & Qing He & Wing Hong Chan, 2016. "From Fixed to Float: A Competing Risks Analysis," International Economic Journal, Taylor & Francis Journals, vol. 30(4), pages 488-503, October.
- Chong, Terence Tai-leung & Wong, Kwan-to, 2001.
"Time series properties of aggregated AR(2) processes,"
Elsevier, vol. 73(3), pages 325-332, December.
- Terence Tai-leung Chong & Kwan-to Wong, 2000. "Time Series Properties of Aggregated AR(2) Processes," Departmental Working Papers _130, Chinese University of Hong Kong, Department of Economics.
- Aaron D. Smallwood & Paul M. Beaumont, 2002. "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002 285, Society for Computational Economics.
- repec:ebl:ecbull:v:3:y:2007:i:2:p:1-10 is not listed on IDEAS
- Terence Tai-Leung Chong & Guoxin Liu & Isabel Kit-Ming Yan, 2007. "Habit Formation: Deep and Uncertain," Economics Bulletin, AccessEcon, vol. 3(2), pages 1-10.
- Terence Tai-Leung Chong & Chi-Leung Wong & Venus Liew, 2006. "Estimation of the Autoregressive Order in the Presence of Measurement Errors," Economics Bulletin, AccessEcon, vol. 3(12), pages 1-10.
- Chong Terence T. L. & He Qing & Hinich Melvin J, 2008. "The Nonlinear Dynamics of Foreign Reserves and Currency Crises," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-18, December.
- Inoue, Akihiko & Kasahara, Yukio, 2004. "Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 135-147, April.
- Chong, Terence Tai Leung & Lu, Chenxi & Chan, Wing H., 2016. "Long Range Dependence and Structural Breaks in the Gold Markets," MPRA Paper 80553, University Library of Munich, Germany.
- Terence Tai-Leung Chong, 2007. "Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter," Economics Bulletin, AccessEcon, vol. 3(67), pages 1-10.
- repec:gam:jeners:v:10:y:2017:i:10:p:1525-:d:114249 is not listed on IDEAS
- repec:ebl:ecbull:v:3:y:2007:i:67:p:1-10 is not listed on IDEAS
- repec:ebl:ecbull:v:3:y:2006:i:12:p:1-10 is not listed on IDEAS
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