Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324975 
Year of Publication: 
2025
Series/Report no.: 
CESifo Working Paper No. 11984
Publisher: 
CESifo GmbH, Munich
Abstract: 
This note puts forward a new modelling approach that includes both fractional integration and autoregressive processes in a unified framework. The proposed model is very general and includes other more standard approaches such as the AR(F)IMA models. Some Monte Carlo evidence shows that the suggested framework outperforms standard AR(F)IMA specifications in capturing the properties of the series examined.
Subjects: 
time series modelling
stationarity
fractional integration
autoregressions
JEL: 
C22
C50
Document Type: 
Working Paper
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