search query: @author Baillie, R. / total: 4
reference: 3 / 4
| Author: | Baillie, R. |
| Title: | Long memory processes and fractional integration in econometrics |
| Journal: | Journal of Econometrics
1996 : JUL, VOL. 73:1, p. 5-60 |
| Index terms: | ECONOMICS ECONOMETRICS STOCHASTIC PROCESSES |
| Language: | eng |
| Abstract: | This paper provides a survey and review of the major econometric work on long memory processes, fractional integration , and their applications in economics and finance. Some of the definitions of long memory are reviewed, together with previous work on other disciplines. Section 3 describes the population characteristics of various long memory processes in the mean, including ARFIMA. Section 4 is concerned with estimation and examines semiparametric procedures in both the frequency and time domain, and also the properties of various regression based and maximum likelihood techniques. |
SCIMA