Inference and Forecasting for ARFIMA Models with an Application to US and UK Inflation.
Practical aspects of likelihood-based inference and forecasting of series with long memory are considered, based on the ARFIMA(p; d; q) model with deterministic regressors. Sampling characteristics of approximate and exact first-order asymptotic methods are compared. The analysis is extended using m...
Main Authors: | Doornik, J, Ooms, M |
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Format: | Journal article |
Published: |
Berkley Electronic Press
2004
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