Tests for long memory in a time series
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References listed on IDEAS
- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
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- Christopher F. Baum, 2004. "Topics in time series regression modeling," United Kingdom Stata Users' Group Meetings 2004 7, Stata Users Group, revised 26 Jul 2004.
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