| PDF (840kB) |
- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-272697
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.27269
Alternative Links zum Volltext:Repec
Zusammenfassung
Fractionally integrated vector autoregressive models allow to capture persistence in time series data in a very flexible way. Additional flexibility for the short memory properties of the model can be attained by using the fractional lag perator of Johansen (2008) in the vector autoregressive polynomial. However, it also makes maximum likelihood estimation more diffcult. In this paper we first ...
![plus plus](/style/images/plus.png)
Nur für Besitzer und Autoren: Kontrollseite des Eintrags