A Fractional Integration Model and Testing Procedure with Roots Within the Unit Circle
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DOI: 10.3390/math13182978
Abstract: In this paper we propose a statistical model that combines both autoregressions and fractional differentiation in a unified treatment. However, instead of imposing that the roots are strictly on the unit circle, we also allow… read more here.
Keywords: within unit; model; unit circle; fractional integration ... See more keywords