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2005-09-30Buch DOI: 10.18452/3428
A Generalized Fractional Time Series Model
dc.contributor.authorGil-Alaña, Luis A.
dc.date.accessioned2017-06-15T20:57:41Z
dc.date.available2017-06-15T20:57:41Z
dc.date.created2005-09-30
dc.date.issued2005-09-30
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4080
dc.description.abstractWe propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular cases. A very general version of the tests of Robinson (1994) is used to test the order of integration of each component. Finite-sample critical values of the tests are evaluated and, an empirical application, is also carried out at the end of the article.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectLong memoryeng
dc.subjectTime series modeleng
dc.subjectFractional integrationeng
dc.subject.ddc330 Wirtschaft
dc.titleA Generalized Fractional Time Series Model
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10048335
dc.identifier.doihttp://dx.doi.org/10.18452/3428
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages18
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2000
local.edoc.container-issue107
local.edoc.container-year2000
local.edoc.container-erstkatid2135319-0

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