The Role of Initial Values in Nonstationary Fractional Time Series Models
Research output: Working paper
Standard
The Role of Initial Values in Nonstationary Fractional Time Series Models. / Johansen, Søren; Nielsen, Morten Ørregaard.
Kbh. : Økonomisk institut, Københavns Universitet, 2012.Research output: Working paper
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) Vol. 12 No. 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
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