Modeling long-run behavior with the fractional ARIMA model

@inproceedings{Sowell1992ModelingLB,
  title={Modeling long-run behavior with the fractional ARIMA model},
  author={Fallaw B. Sowell},
  year={1992}
}
Abstract When modeling long-run behavior, fractional ARIMA models can give insights unobtainable with the nonfractional ARIMA models. As an application, the deterministic trend and unit root with drift models are nested in the fractional ARIMA model. This allows testing between the two models based on estimated parameter values. This test is applied to postwar US quarterly real GNP. The test concludes that GNP is consistent with both models. The estimated fractional parameter is significantly… CONTINUE READING

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