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Likelihood inference for a nonstationary fractional autoregressive model
Søren Johansen
, Morten Ørregård Nielsen
Department of Economics
74
Citations (Scopus)
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Dive into the research topics of 'Likelihood inference for a nonstationary fractional autoregressive model'. Together they form a unique fingerprint.
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Business & Economics
Autoregressive Model
100%
Inference
73%
Fractional Differencing
28%
Nonstationary Processes
26%
Limit Distribution
25%
Fractional Brownian Motion
25%
Process Model
24%
Moment Conditions
23%
Likelihood Ratio Test
21%
Maximum Likelihood Estimator
21%
Asymptotic Distribution
20%
Statistical Analysis
20%
Stochastic Processes
18%
Unit Root
18%
Derivatives
16%
Estimator
14%