Autoregression-Based Estimators for ARFIMA Models
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References listed on IDEAS
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More about this item
KeywordsARFIMA model; autoregression; fractional integration; long memory; Modèle ARFIMA; autorégression; intégration fractionnelle; mémoire longue;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: 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-2001-03-13 (All new papers)
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