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ARFIMA: Muundo wa Mfumo wa ARMA wenye Viwango vya Nusu×Urejeshaji wa Njia ya Viwango Vidogo vya Kawaida (OLS)×Kielelezo cha Athari Zilizowekwa za Data ya Paneli×
NyanjaEkonometrikiEkonometrikiEkonometriki
FamiliaRegression modelRegression modelRegression model
Mwaka wa asili198020192014
MwanzilishiGranger & Joyeux (1980); Hosking (1981)Wooldridge (textbook treatment); classical least squaresHsiao (textbook treatment); within transformation of panel data
AinaLong-memory time series modelLinear regressionPanel data regression
Chanzo asiliaGranger, C. W. J. & Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15–29. DOI ↗Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗
Majina mbadalafractionally integrated ARMA, long-memory time series model, ARFIMA / FIGARCH, fractional differencing modelordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonufixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli
Zinazohusiana555
MuhtasariARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Granger and Joyeux (1980) and formalised by Hosking (1981) to describe series whose autocorrelations decay slowly rather than abruptly.Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE).The Panel Data Fixed Effects model estimates relationships from panel data (the same units observed over several time periods) while controlling for unit- and/or time-specific effects, supporting causal inference. It is developed as the within estimator in standard treatments such as Hsiao's Analysis of Panel Data (2014).
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ScholarGateLinganisha mbinu: ARFIMA Model · OLS Regression · Panel Fixed Effects. Imepatikana 2026-06-18 kutoka https://scholargate.app/sw/compare