A permanent-transitory decomposition for ARFIMA processes

Author:

Ariño Miguel A.,Marmol Francesc

Publisher

Elsevier BV

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference13 articles.

1. A simple linear time series model with misleading nonlinear properties;Andersson;Econom. Lett.,1999

2. A new approach to the decomposition of economic time series into permanent and transient components with particular attention to measurement of the business cycle;Beveridge;J. Monetary Econom.,1981

3. On maximum likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean;Cheung;J. Econometrics,1994

4. Doornik, J.A., Ooms, M., 1999. A package for estimating, forecasting and simulating ARFIMA models: Arfima package 1.0 for Ox. Erasmus University, preprint.

5. Time Series Models for Business and Economic Forecasting;Franses,1998

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