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Keyword: fractional time series;
3 results found.
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Peter M Robinson and Carlos Velasco
A dynamic panel data model is considered that contains possibly stochastic individual components and a common fractional stochastic time trend. We propose four different ways of coping with the individual effects so as t...Read more...
20 November 2013
Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the...Read more...
L A Gil-Alaña and Peter M Robinson
Recently proposed tests for unit root and other nonstationarity of Robinson (1994a) are applied to an extended version of the data set used by Nelson and Plosser (1982). Unusually, the tests are efficient (against approp...Read more...