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Nelson and Plosser Revisited: Evidence from Fractional Arima Models

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  • Gil-Alana, L.

Abstract

Fractionally integrated ARMA (ARFIMA) models are investigated in an Extended version of Nelson and Plosser's (1982) data set.

Suggested Citation

  • Gil-Alana, L., 1998. "Nelson and Plosser Revisited: Evidence from Fractional Arima Models," Economics Working Papers eco98/21, European University Institute.
  • Handle: RePEc:eui:euiwps:eco98/21
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    Keywords

    ECONOMIC MODELS ; TIME SERIES ; TESTS;

    JEL classification:

    • 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

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