Estimating the differencing parameter via the partial autocorrelation function
نویسندگان
چکیده
منابع مشابه
Estimating the di!erencing parameter via the partial autocorrelation function
This paper provides an explanation for the puzzling phenomenon in Tieslau et al. (1996, Journal of Econometrics 71, 249}264) that a substantial e$ciency loss occurs if low-order autocorrelations are omitted when estimating the di!erencing parameter, d. This is because for all n strictly bigger than 1, the nth-order autocorrelation function does not depend uniquely on the di!erencing parameter. ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2000
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(99)00076-7