(MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
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Recommendations
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Cites work
Cited in
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- A new kernel for long-run variance estimates in seasonal time series models
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- Long memory processes and fractional integration in econometrics
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- Extending the Fama and French model with a long term memory factor
- Infinite variance stable Gegenbauer ARFISMA models
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- The k-factor GARMA process with infinite variance innovations
- The stochastic unit root model and fractional integration: An extension to the seasonal case
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- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
- The periodogram regression:correction and comments
- A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
- LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES
- A Note on Modelling Seasonal Processes in Continuous Time
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- Finite sample performance of frequency- and time-domain tests for seasonal fractional integration
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- Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
- Marginal density estimation for linear processes with cyclical long memory
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- Out-of-sample forecast errors in misspecific perturbed long memory processes.
- Modelling cycles in climate series: the fractional sinusoidal waveform process
- Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training
- Parameter estimation for Gegenbaeur Arfisma processes with infinite variance innovations
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