68 citations · 68 across the 2 of their papers we have counts for
2 papers
econ.EM2022
Fractional integration and cointegration
Javier Hualde, Morten Ørregaard Nielsen
In this chapter we present an overview of the main ideas and methods in the fractional integration and cointegration literature. We do not attempt to give a complete survey of this…
math.ST2012★ 68 cited
Gaussian pseudo-maximum likelihood estimation of fractional time series models
Javier Hualde, Peter M. Robinson
We consider the estimation of parametric fractional time series models in which not only is the memory parameter unknown, but one may not know whether it lies in the stationary/inv…