User’s Guide : Basic Single Equation Analysis : Time Series Regression : References
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Box, George E.P., Jenkins, Gwilym M., and Gregory C. Reinsel (2008). Time Series Analysis: Forecasting and Control, Fourth Edition, Hoboken, New Jersey: John Wiley & Sons.
Doornik, Jurgen A. and Marius Ooms (2003). “Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models,” Computational Statistics & Data Analysis, 42, 333–348.
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Granger, C. W. J. and Roselyne Joyeux (1980). “An Introduction to Long-Memory Time Series Models and Fractional Differencing,” Journal of Time Series Analysis, 1, 15–29.
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Johnston, Jack and John Enrico DiNardo (1997). Econometric Methods, 4th Edition, New York: McGraw-Hill.
Kohn, Robert and Craig F. Ansley (1985). “Efficient Estimation and Prediction in Time Series Regression Models,” Biometrika, 72, 694–697.
Rao, P. and Z. Griliches (1969). “Small Sample Properties of Several Two-Stage Regression Methods in the Context of Auto-Correlated Errors,” Journal of the American Statistical Association, 64, 253–272.
Sowell, Fallaw (1992). “Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models,” Journal of Econometrics, 53, 165–188.
Sowell, Fallaw (1992a). “Modeling Long-run Behavior with the Fractional ARIMA Model,” Journal of Monetary Economics, 29, 277–302.