Statistical analysis of autoregressive fractionally integrated moving average models in R

Computational Statistics

Volumn 28, Issue 5, 2013, Pages 2309-2331

  Contreras Reyes, Javier E ^a   Palma, Wilfredo ^b  

^a UNIVERSIDAD DE VALPARAÍSO   (Chile)

^b PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE   (Chile)

Author keywords

ARFIMA models; Exact variance matrix; Forecasting; Impulse response functions; Long memory time series; R; Whittle estimation

Indexed keywords

EID: 84884701605     PISSN: 09434062     EISSN: 16139658     Source Type: Journal    
DOI: 10.1007/s00180-013-0408-7     Document Type: Article

References (33)

1. Akaike H (1974) A new look at the statistical model identification. IEEE Trans Automat Contr 19(6): 716-723.
2. Andrews D (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59(3): 817-858.
3. Andrews D, Monahan JC (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60(4): 953-966.
4. Beran J (1994) Statistics for long-memory processes. Chapman & Hall, New York.
5. Bisaglia L, Guégan D (1998) A comparison of techniques of estimation in long-memory processes. Comput Stat Data Anal 27: 61-81.
6. Contreras-Reyes JE, Goerg G, Palma W (2011) Estimation, diagnostic and forecasting Functions for ARFIMA models. R package version 0. 1. 8. http://cran. r-project. org/web/packages/afmtools/index. html.
7. Contreras-Reyes J, Idrovo B (2011) En busca de un modelo Benchmark Univariado para predecir la tasa de desempleo de Chile. Cuad Econ 30(55): 105-125.
8. Dahlhaus R (1989) Efficient parameter estimation for self-similar processes. Ann Stat 17(4): 1749-1766.
9. Diebold F, Mariano R (1995) Comparing predictive accuracy. J Bus Econ Stat 13(3): 253-263.
10. Giacomini R, White H (2006) Tests of conditional predictive ability. Econometrica 74(6): 1545-1578.
11. Gradshteyn IS, Ryzhik IM (2007) Table of Integrals, Series, and Products, 7th edn. Elsevier, Amsterdam.
12. Granger CW, Joyeux R (1980) An introduction to long-memory time series models and fractional differencing. J Time Ser Anal 1: 15-29.
13. Haslett J, Raftery AE (1989) Space-time modelling with long-memory dependence: assessing Ireland's wind power resource (with Discussion). Appl Stat 38(1): 1-50.
14. Hassler U, Kokoszka PS (2010) Impulse responses of fractionally integrated processes with long memory. Economet Theor 26(6): 1861-1885.
15. Hipel KW, McLeod AI (1994) Time series modelling of water resources and environmental systems. Elsevier, Amsterdam.
16. Hosking JR (1981) Fractional differencing. Biometrika 68(1): 165-176.
17. Hyndman RJ, Khandakar Y (2008) Automatic time series forecasting: the forecast Package for R. J Stat Softw 27(3): 1-22.
18. Kokoszka PS, Taqqu MS (1995) Fractional ARIMA with stable innovations. Stoch Proc Appl 60(1): 19-47.
19. Lieberman O, Phillips PCB (2008) A complete asymptotic series for the autocovariance function of a long memory process. J Econometrics 147(1): 99-103.
20. Lumley A, Heagerty P (1999) Weighted Empirical adaptive variance estimators for correlated data regression. J Roy Stat Soc B 61(2): 459-477.
21. Newey WK, West KD (1987) A simple, positive semidefinite, Heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3): 703-708.
22. Palma W (2007) Long-memory time series, theory and methods. Wiley, Hoboken.
23. Palma W, Olea R (2010) An efficient estimator for locally stationary Gaussian long-memory processes. Ann Stat 38(5): 2958-2997.
24. Palma W, Olea R, Ferreira G (2013) Estimation and forecasting of locally stationary processes. J Forecast 32(1): 86-96.
25. Peiris M, Perera B (1988) On prediction with fractionally differenced ARIMA models. J Time Ser Anal 9(3): 215-220.
26. Piessens R, de Doncker-Kapenga E, Uberhuber C, Kahaner D (1983) Quadpack: a subroutine package for automatic integration. Springer, New York.
27. R Development Core Team (2012) R: A language and environment for statistical computing. Foundation for Statistical Computing, Vienna. ISBN 3-900051-07-0. http://www. R-project. org.
28. Singleton RC (1979) Mixed radix fast fourier transforms. In: IEEE Digital Signal Processing Committee (eds) Programs for Digital Signal Processing. IEEE Press, New York.
29. Sowell F (1992) Maximum likelihood estimation of stationary univariate fractionally integrated time series models. J Econom 53(1-3): 165-188.
30. Whittle P (1953) Estimation and information in stationary time series. Ark Mat 2: 423-434.
31. Wold H (1938) A study in the analysis of stationary time series, vol 53. Almqvist and Wiksell, Uppsala, pp 165-188.
32. Zeileis A (2004) Econometric Computing with HC and HAC Covariance Matrix Estimators. J Stat Softw 11(10): 1-17.
33. Zeileis A (2006) Object-oriented Computation of Sandwich Estimators. J Stat Softw 16(9): 1-16.