Modeling long-run behavior with the fractional ARIMA model

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

John Geweke, Susan Porter‐Hudak · Journal of Time Series Analysis · 1983 · 3K citations

Business, Economics, Econometrics +16

How Big Is the Random Walk in GNP?

John H. Cochrane · Journal of Political Economy · 1988 · 1.3K citations

Engineering, Demography, Forecasting +12

Maximum likelihood estimation of stationary univariate fractionally integrated time series models

Fallaw Sowell · Journal of Econometrics · 1992 · 1.1K citations

Social Sciences, Economics, Econometrics +11

Are Output Fluctuations Transitory?

John Y. Campbell, N. Gregory Mankiw · The Quarterly Journal of Economics · 1987 · 783 citations

Social Sciences, Economics, Forecasting +7

Efficient parameter estimation for self-similar processes

Rainer Dahlhaus · The Annals of Statistics · 2006 · 718 citations · Full text

Engineering, Biostatistics, Econometrics +15