Long memory and long run variation
DOI10.1016/j.jeconom.2009.03.006zbMath1431.62411OpenAlexW3124527280MaRDI QIDQ2628841
Publication date: 18 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d16/d1656.pdf
asymptotic expansionsingularitygeneralized functionlong memoryautocovariance functionlong range dependenceFourier integralfractional pole
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)
Related Items (2)
Cites Work
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Diagnostic testing for cointegration
- A complete asymptotic series for the autocovariance function of a long memory process
- Multiple local Whittle estimation in stationary systems
- Asymptotic theory of statistical inference for time series
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
- Fractional differencing
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