Temporal Disaggregation of Time Series_ An ARIMA-Based Approach Victor M. Guerrero Instituto Tecnol6gico de Mkxico (ITAM), Mhico 01000, D.F. Summary Many economic time series are only available in temporally aggregated form. When the analy...

Prediction Intervals for ARIMA Models As indicated by Chatfield (1993) in his comprehensive stateof- the-art review, the construction of valid prediction intervals (PI's) for time series continues to present considerable difficulties. In p...

Parameter Estimation for Infinite Variance Fractional ARIMA Consider the fractional ARIMA time series with innovations that have infinite variance. This is a finite parameter model which exhibits both long-range dependence (long memory) an...

On the Order Determination of ARIMA Models deciding the order of an ARIMA (autoregressive integrated moving average) model is discussed. The possibility of removing this difficulty by using the MAICE (minimum AIC estimation) procedure, whi...

On Estimating an ARMA Model with an MA Unit Root B.P.M. MCCABE University of British Columbia S.J. LEVBOURNE University of Nottingham This paper investigates the behavior of the maximum likelihood estimator of a Gaussian autoregressive mov...

Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models B.M. P~TSCHER University of Maryland Recently Tanaka and Satchell [ l l ] investigated the limiting properties of local maximizers of the Gaussian pseudo...

Mirror-Image and Invariant Distributions in Arma Models JONATHAND. CRYER University of lo wa JOHNC. NANKERVIS City of London Polytechnic N.E. SAVIN University of lo wa The finite sample distributions of estimators and test statistics in AR...

Bayesian Comparison of ARIMA and Stationary ARMA Models John Marriottl and Paul Newbold2 ' ~ e ~ a r t m eonf tMathematics, Statistics and Operational Research, Nottingham Trent University, Nottingham NG1 4BU, UK. 2~epartmenotf Economics,...

Asymptotic Behavior for Partial Autocorrelation Functions of Fractional ARIMA Processes 1. Introduction. Let {X, :n E Z} be a real, zero-mean, weakly stationary process, which we shall simply call a stationary process. We write y (.) for t...

ARMA Memory Index Modeling of Economic Time Series HERMANJ. BIERENS Free University, Amsterdam In this paper, it will be shown that if we condition a k-variate rational-valued time series process on its entire past, it is possible to captu...