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Modeling long-run behavior with the fractional ARIMA model

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1988How Big Is the Random Walk in GNP?1,270 cited
1987Are Output Fluctuations Transitory?811 cited
1989Long memory and persistence in aggregate output546 cited

Cited by

2002Multifractality in Asset Returns: Theory and Evidence384 cited
1994Some advances in non‐linear and adaptive modelling in time‐series361 cited
1995Long Memory in Inflation Rates: International Evidence315 cited
1994On the power of unit root tests against fractional alternatives309 cited
2004Estimation and interpretation of 1/fα noise in human cognition304 cited
1996Long memory continuous time models248 cited
1995A search for long memory in international stock market returns236 cited
1999What is Fractional Integration?229 cited
1998Pitfalls in testing for long run relationships226 cited
1994The long memory of the forward premium212 cited
2003Contemporaneous aggregation of linear dynamic models in large economies189 cited
2005

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An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series

175 cited

2018Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks172 cited

2000Mean reversion in the real exchange rates166 cited

1996The Dynamics of Aggregate Partisanship162 cited

1999Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter156 cited