Gil-Alana, Luis A.; Yaya, OlaOluwa S.; Shittu, Olanrewaju I. - In: Physica A: Statistical Mechanics and its Applications 396 (2014) C, pp. 42-50
fractionally integrated or I(d) model with an order of integration d of about 0.46 and an estimated time trend coefficient that … cyclical fractional model seems to be more appropriate, with a periodicity of 11 years per cycle and an order of integration of … about 0.40. Thus, the two series display long memory and fractional integration. However, the fact that both series display …