Nelson and Plosser Revisited: Evidence from Fractional Arima Models

Luis Gil-Alana

Economics Working Papers from European University Institute

Abstract: Fractionally integrated ARMA (ARFIMA) models are investigated in an Extended version of Nelson and Plosser's (1982) data set.

Keywords: ECONOMIC MODELS; TIME SERIES; TESTS (search for similar items in EconPapers)
JEL-codes: C20 C22 (search for similar items in EconPapers)
Pages: 36 pages
Date: 1998
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Related works:
Working Paper: NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS (2004)
Working Paper: NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco98/21

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