EC 821 : Time Series Econometrics Spring 2003
نویسنده
چکیده
2 1 1 =0 | | d t t t p p q q d d k k t () () ()(1) () = () (0) () () (1) (1) = () ())(+ 1) () () 0 5 1. Fractionally integrated timeseries and ARFIMA modelling 1 This presentation of ARFIMA modelling draws heavily from Baum and Wiggins (2000). The model of an autoregressive fractionally integrated moving average process of a timeseries of order , denoted by ARFIMA , with mean , may be written using operator notation as (1.1) where is the backward-shift operator, = 1- ..-, = 1 + + ... + , and is the fractional differencing operator deened by (1.2) with () denoting the gamma (generalized factorial) function. The parameter is allowed to assume any real value. The arbitrary restriction of to integer values gives rise to the standard autoregressive integrated moving average (ARIMA) model. The stochastic process is both stationary and invertible if all roots of and lie outside the unit circle and. The process
منابع مشابه
Critical Realism and Econometrics. Working Paper 4/2003
In “Economics and Reality” (1997) Tony Lawson advocates a perspective on social reality labelled critical realism. Critical realism maintains that strict regularities between observable events are the exception rather than the rule in the social world. This is a negative argument for econometrics which is seen to rely on the identification of such regularities. By contrast, the notion of explan...
متن کاملCausality and Exogeneity in Econometrics
This Special Issue of the Journal of Econometrics contains a selection of papers presented at the 12 th (EC) 2 conference on " Causality and Exogeneity in Econometrics " held in Louvain-La-Neuve, Belgium in December 2001. (EC) 2 stands for European Conference of the Econom(etr)ics Community. The (EC) 2 conference series was established in 1990. The meetings are small-scale conferences, organize...
متن کاملGuest Editors’ Introduction: Model Selection and Evaluation in Econometrics
The 13th (EC) meeting was held at the University of Bologna, 13–14 December 2002, with the theme Model Selection and Evaluation. This collection of papers originates from that conference. (EC) is an acronym for European Conference of the Econom(etr)ics Community, focusing on Econometrics and Quantitative Economics. The programme chair for this meeting was Niels Haldrup with Herman K. van Dijk a...
متن کاملTime - series Econometrics : Cointegration and Autoregressive Conditional Heteroskedasticity
متن کامل
Ec821: Time Series Econometrics Spring 2003 Notes Section 10 Part 1
0 0 t t t t t = + ()cos () + () sin () 1. Spectral analysis Y , Y Y Y t. Y Y Y Y ω ωt dω ω ωt dω Y. Our focus thus far has been on considering how the timeseries reacts to a sequence of innovations and the implications of the relationship between and for the covariance (or correlation) between and at distinct dates and We speak of this as analysing the properties of in the time domain. We might...
متن کامل