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Modeling long-run behavior with the fractional ARIMA model · Study

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ArticleModeling long-run behavior with the fractional ARIMA model

Fallaw Sowell1992

Article1992

Modeling long-run behavior with the fractional ARIMA model

352 citations·0/0 files stored·Journal of Monetary Economics

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Time Series Analysis and Forecasting

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1988How Big Is the Random Walk in GNP?1987Are Output Fluctuations Transitory?1989Long memory and persistence in aggregate output

Cited by

2002Multifractality in Asset Returns: Theory and Evidence 1994Some advances in non‐linear and adaptive modelling in time‐series 1995Long Memory in Inflation Rates: International Evidence 1994On the power of unit root tests against fractional alternatives 2004Estimation and interpretation of 1/fα noise in human cognition 1996Long memory continuous time models 1995A search for long memory in international stock market returns 1999What is Fractional Integration?

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1994Chapter 46 Unit roots, structural breaks and trendschapter · 4 shared references 2000(Fractional) beta convergencearticle · 4 shared references 2001The Sources and Nature of Long-Term Memory in Aggregate Outputarticle · 4 shared references 2011The Source and Nature of Long-term Memory in the Business Cyclereport · 4 shared references 1996Long memory processes and fractional integration in econometricsarticle · 3 shared references 1997Testing of unit root and other nonstationary hypotheses in macroeconomic time seriesarticle · 3 shared references

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Year1992

Typearticle

Published1992-04-01

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations352

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-3932(92)90016-u

openalex_workW1963528266

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