Doornik, Jurgen; Ooms, Marius - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 2, pp. 1218-1218
Practical aspects of likelihood-based inference and forecasting of series with long memory are considered, based on the arfima(p; d; q) model with deterministic regressors. Sampling characteristics of approximate and exact first-order asymptotic methods are compared. The analysis is extended...
