Estimating long memory: scaling function vs. Andrews and Guggenberger GPH

DOI10.1016/J.ECONLET.2006.11.002MaRDI QIDQ1934059zbMATH OpenOpenAlexFDO

Authors Jérôme Fillol

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.11.002

zbMATH Keywords

GPH modified

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Log-periodogram regression of time series with long range dependence
• Long memory and regime switching
• Memory and infrequent breaks
• The scaling function-based estimator of long memory in the presence of a short-term component

Cited in

(1)

• The scaling function-based estimator of long memory in the presence of a short-term component

Describes a project that uses

Uses Software

• longmemo

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