On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach

Objective
The principal aim of the Journal of Time Series Econometrics (JTSE) is to serve as an internationally recognized outlet for important new research in both theoretical and applied classical and Bayesian time series, spatial, and panel data econometrics. The scope of the journal includes papers dealing with estimation, testing, and other methodological aspects involved in the application of time series and spatial analytic techniques to economic, financial, and related data.

Thanks to its electronic format, the Journal of Time Series Econometrics can publish authors’ algorithms, programs, and data sets alongside traditional articles, allowing other scholars to replicate empirical results, and encouraging applied researchers and practitioners to reproduce and extend academic findings. Authors are invited to assist replication of empirical results by providing copies of data and programs online.

• theoretical and applied classical and Bayesian time series
• spatial econometrics
• panel data econometrics
  

Article formats
Research articles

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