Fractional integration and interval prediction

Economics Letters

Volumn 50, Issue 3, 1996, Pages 305-313

  Diebold, Francis X ^a,b   Lindner, Peter ^c  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c LEHMAN BROTHERS   (United States)

Author keywords

Forecasting; Long memory; Prediction interval; Real interest rates

Indexed keywords

EID: 0030306155     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(95)00772-5     Document Type: Article

References (13)

1. Cochrane, J.H., 1988, How big is the random walk in GNP?, Journal of Political Economy, 96, 893-920.
2. Diebold, F.X. and M. Nerlove, 1990, Unit roots in economic time series: A selective survey, in: T.B. Fomby and G.F. Rhodes, eds., Advances in econometrics: Co-integration, spurious regressions, and unit roots, (JAI Press, Greenwich, CT) 3-69.
3. Fama, E.F. and M.R. Gibbons, 1982, Inflation, real returns and capital investment, Journal of Monetary Economics 9, 297-323.
4. Faust, J., 1992, When are variance ratio tests for serial dependence optimal?, Econometrica 60, 1215-1226.
5. Geweke, J. and S. Porter-Hudak, 1983, The estimation and application of long memory time series models, Journal of Time Series Analysis 4, 221-238.
6. Granger, C.W.J. and R. Joyeux, 1980, An introduction to long-memory time series models and fractional differencing, Journal of Time Series Analysis 1, 15-39.
7. Huizinga, J. and F.S. Mishkin, 1986, Monetary policy regime shifts and unusual behavior of real interest rates, Carnegie-Rochester Conference Series on Public Policy 24, 231-274.
8. Lo, A.W., 1991, Long-term memory in stock market prices, Econometrica 59, 1279-1313.
9. Mandelbrot, B.B., 1972, Statistical methodology for nonperiodic cycles: From the covariance to R/S analysis, Annals of Econometric and Social Measurement 1, 259-290.
10. Mishkin, F.S., 1992, Is the Fisher effect for real? A re-examination of the relationship between inflation and interest rates, Journal of monetary economics 30, 195-215.
11. Sampson, M., 1991, The effect of parameter uncertainty on forecast variance and confidence intervals for unit root and trend stationary time-series models, Journal of Applied Econometrics 6, 67-76.
12. Sowell, F., 1990, The fractional unit root distribution, Econometrica 50, 495-505.
13. Stock, J.H. and M.W. Watson, 1988, Variable trends in economic time series, Journal of Economic Perspectives 2, 147-174.