A note on calculating the autocovariances of the fractionally integrated ARMA models

Author:

Chung Ching-Fan

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference5 articles.

1. On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean;Cheung;Journal of Econometric,1993

2. Small sample bias in conditional sum of squares estimators of fractionally integrated ARMA models;Chung;Empirical Economics,1993

3. Table of integrals, series, and products;Gradshteyn,1980

4. Maximum likelihood estimation of stationary univariate fractionally integrated time series models;Sowell;Journal of Econometrics,1992

5. Modelling long-run behavior with fractional ARIMA model;Sowell;Journal of Monetary Economics,1992

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