Article ID: | iaor19951550 |
Country: | Netherlands |
Volume: | 10 |
Issue: | 4 |
Start Page Number: | 507 |
End Page Number: | 514 |
Publication Date: | Oct 1994 |
Journal: | International Journal of Forecasting |
Authors: | Smith Jeremy, Yadav Sanjay |
Keywords: | ARIMA processes |
This paper investigates the cost of assuming a unit difference when the series is only fractionally integrated with an integration parameter