Journal article
Inference and Forecasting for ARFIMA Models with an Application to US and UK Inflation.
- Abstract:
-
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 modified profile likelihood analysis, which is a higher-order asymptotic method suggested by Cox and Reid (1987). The relevance of the differences between the methods is investigated for models and ...
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Bibliographic Details
- Publisher:
- Berkley Electronic Press
- Journal:
- Studies in Nonlinear Dynamics and Econometrics
- Volume:
- 8
- Issue:
- 2
- Publication date:
- 2004-01-01
- ISSN:
-
1081-1826
Item Description
- UUID:
-
uuid:316e201b-773e-414b-b45b-f2dac3921c40
- Local pid:
- oai:economics.ouls.ox.ac.uk:12884
- Deposit date:
- 2011-08-15
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- Copyright date:
- 2004
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