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Rossana, Robert J.


An attraction of fractional processes is that they allow more flexibility in the dynamic responses of economic variables to shocks than is permitted under the unit root model. In Particular, these favorable properties of flexibility and slow convergence to equilibrium levels render fractional integration an attractive model of time series behavior, a model that accommodates unit root type persistence as well as long range dependence and mean reversion. Several methods have been proposed to estimate the fractional integration parameter d. Sowell (1990b) proposes a maximum likelihood method to estimate d and the ARMA (p, q) parameters jointly. In this dissertation we investigate the presence of fractional dynamics in several important macroeconomic and financial time series.

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