The estimation of misspecified long memory models
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Publication:2511781
DOI10.1016/j.jeconom.2013.08.023zbMath1293.62202OpenAlexW2022178008MaRDI QIDQ2511781
Publication date: 6 August 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/53692/1/Robinson_Estimation%20misspecified_2016.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)
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