A Fast Fractional Difference Algorithm
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- Andreas Noack Jensen & Morten Ørregaard Nielsen, 2014. "A Fast Fractional Difference Algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 428-436, August.
- Andreas Noack Jensen & Morten Ørregaard Nielsen, 2013. "A fast fractional difference algorithm," Discussion Papers 13-04, University of Copenhagen. Department of Economics.
References listed on IDEAS
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"Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model,"
Econometrica, Econometric Society, vol. 80(6), pages 2667-2732, November.
- Morten Ø. Nielsen & S Johansen, 2010. "Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model," Working Paper 1237, Economics Department, Queen's University.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model," Discussion Papers 10-15, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "Likelihood inference for a fractionally cointegrated vector autoregressive model," CREATES Research Papers 2010-24, Department of Economics and Business Economics, Aarhus University.
- Chen, Willa W. & Hurvich, Clifford M. & Lu, Yi, 2006. "On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 812-822, June.
- Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George, 2013. "Risk and return: Long-run relations, fractional cointegration, and return predictability," Journal of Financial Economics, Elsevier, vol. 108(2), pages 409-424.
- Doornik, Jurgen A. & Ooms, Marius, 2003.
"Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models,"
Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 333-348, March.
- Jurgen A. Doornik & Marius Ooms, 2001. "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Papers 2001-W27, Economics Group, Nuffield College, University of Oxford.
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More about this item
Keywords
Circular convolution theorem; fast Fourier transform; fractional difference;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
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