The Role of Initial Values in Nonstationary Fractional Time Series Models

Publikation: Working paperForskning

Standard

The Role of Initial Values in Nonstationary Fractional Time Series Models. / Johansen, Søren; Nielsen, Morten Ørregaard.

Kbh. : Økonomisk institut, Københavns Universitet, 2012.

Publikation: Working paperForskning

Harvard

Johansen, S & Nielsen, MØ 2012 'The Role of Initial Values in Nonstationary Fractional Time Series Models' Økonomisk institut, Københavns Universitet, Kbh. <https://www.econ.ku.dk/english/research/publications/wp/dp_2012/1218.pdf/>

APA

Johansen, S., & Nielsen, M. Ø. (2012). The Role of Initial Values in Nonstationary Fractional Time Series Models. Økonomisk institut, Københavns Universitet. University of Copenhagen. Institute of Economics. Discussion Papers (Online) Bind 12 Nr. 18 https://www.econ.ku.dk/english/research/publications/wp/dp_2012/1218.pdf/

Vancouver

Johansen S, Nielsen MØ. The Role of Initial Values in Nonstationary Fractional Time Series Models. Kbh.: Økonomisk institut, Københavns Universitet. 2012.

Author

Johansen, Søren ; Nielsen, Morten Ørregaard. / The Role of Initial Values in Nonstationary Fractional Time Series Models. Kbh. : Økonomisk institut, Københavns Universitet, 2012. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 18, Bind 12).

Bibtex

@techreport{8ef56d8f311c40209fb6eb7e45471af1,
title = "The Role of Initial Values in Nonstationary Fractional Time Series Models",
keywords = "Faculty of Social Sciences, asymptotic expansion, bias, conditional inference, fractional integration",
author = "S{\o}ren Johansen and Nielsen, {Morten {\O}rregaard}",
note = "JEL Classication: C22",
year = "2012",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",
number = "18",
publisher = "{\O}konomisk institut, K{\o}benhavns Universitet",
type = "WorkingPaper",
institution = "{\O}konomisk institut, K{\o}benhavns Universitet",

}

RIS

TY - UNPB

T1 - The Role of Initial Values in Nonstationary Fractional Time Series Models

AU - Johansen, Søren

AU - Nielsen, Morten Ørregaard

N1 - JEL Classication: C22

PY - 2012

Y1 - 2012

KW - Faculty of Social Sciences

KW - asymptotic expansion

KW - bias

KW - conditional inference

KW - fractional integration

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - The Role of Initial Values in Nonstationary Fractional Time Series Models

PB - Økonomisk institut, Københavns Universitet

CY - Kbh.

ER -

ID: 43213401