The use of the bloomfield model as an approximation to ARMA processes in the context of fractional integration

By L. Gil‐Alana. 2004

130 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d532f2eb29d2518874e9771f345162dde7df350d

Citations in the corpus

• Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials (2016, unknown): “However, noting that in this context M = 1, we can consider one-sided alternatives such as Ha:d < do or d > do, and then, consider the test statistic: 2 ˆˆˆ , ˆˆ T ar R A = = σ (15) which is asymptotically distributed as ˆ ( 0,1) as .dr N T→ →∞ (16) See Robinson (1994).”
• A Non-linear Approach with Long Range Dependence based on Chebyshev Polynomials (2012, unknown): “In particular, we consider the following data generation process (DGP):                                                              3 See Gil-Alana (2004) for an explanation of the accommodation of the model of Bloomfield (1973) in the context of fractional integration, and more in particular, in…”