Identification of fractional differencing autoregressive models ^†

^† This work was carried out while the author was visiting UMIST

Abstract

This paper proposes an identification method to fractional differencing autoregressive models, and this method gives a consistent estimator for fractional differencing order and efficient estimates for parameters in fractional differencing autoregressive models.

Keywords:

• long memory
• fractional differencing
• Levinson algorithm
• identification method

^† This work was carried out while the author was visiting UMIST

^† This work was carried out while the author was visiting UMIST

Notes

^† This work was carried out while the author was visiting UMIST