Estimating the differencing parameter via the partial autocorrelation function

Journal of Econometrics

Volumn 97, Issue 2, 2000, Pages 365-381

  Chong, Terence Tai Leung ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Differencing parameter; Fractionally integrated model

Indexed keywords

EID: 0041371493     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00076-7     Document Type: Article

References (22)

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