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Volumn 71, Issue 1, 2001, Pages 17-25

Calculating and analyzing impulse responses for the vector ARFIMA model

Author keywords

C22; Generating functions; Impulse responses; Slow changing rates; The VARFIMA model

Indexed keywords


EID: 0035582410     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(00)00399-2     Document Type: Article
Times cited : (19)

References (21)
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    • Chung, C.-F.1
  • 8
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    • Small sample bias in conditional sum of squares estimators of fractionally integrated ARMA models
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    • Fractional differencing
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    • 0000708126 scopus 로고    scopus 로고
    • Asymptotic distributions of the sample mean, autocovariances and autocorrelations of long-memory time series
    • Hosking J.R.M. Asymptotic distributions of the sample mean, autocovariances and autocorrelations of long-memory time series. Journal of Econometrics. 73:1996;261-284.
    • (1996) Journal of Econometrics , vol.73 , pp. 261-284
    • Hosking, J.R.M.1
  • 18
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    • Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models
    • Lütkepohl H. Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models. The Review of Economic and Statistics. 72:1990;116-125.
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    • Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models
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  • 20
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    • Maximum likelihood estimation of stationary univariate fractionally integrated time series models
    • Sowell F.B. Maximum likelihood estimation of stationary univariate fractionally integrated time series models. Journal of Econometrics. 53:1992;165-188.
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.