Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models-Reference-Cited by-同舟云学术

Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models

Published:1993-12 Issue:4 Volume:18 Page:791-806
ISSN:0377-7332
Container-title:Empirical Economics
language:en
Short-container-title:Empirical Economics

Author:

Chung Ching-Fan,Baillie Richard T.

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/BF01205422.pdf

Reference25 articles.

1. Agiakloglou, Newbold P, Wohar M (1992) Bias in an estimator of the fractional differencing parameter. Journal of Time Series Analysis, forthcoming

2. Baillie RT, Chung CF, Tieslau MA (1992) The long memory and variability of inflation: A reappraisal of the friedman hypothesis. Michigan State University Working Paper 9102

3. Box GEP, Jenkins GM (1976) Time series analysis: forecasting and control, second edition, Holden-Day San Francisco

4. Cheung YW, Diebold FX (1993) On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean. Journal of Econometrics, forthcoming

5. Diebold FX, Rudebusch GD (1989) Long memory and persistence in aggregate output. Journal of Monetary Economics 24:189?209

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