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ArticleLikelihood inference for a nonstationary fractional autoregressive model

Søren Johansen2010

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Articlegreen2010

Likelihood inference for a nonstationary fractional autoregressive model

Søren Johansen · Morten Ørregaard Nielsen

184 citations·0/0 files stored·Journal of Econometrics

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Complex Systems and Time Series Analysis Monetary Policy and Economic Impact Fractional Differential Equations Solutions

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1987Time Series Regression with a Unit Root 1981Fractional Differencing 1996Long memory processes and fractional integration in econometrics 2003Theory and applications of long-range dependence

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Year2010

Typearticle

Published2010-03-15

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations184

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.jeconom.2010.03.006

openalex_workW2170353114

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