(MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
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Publication:4299025
DOI10.1111/j.1467-9892.1994.tb00174.xzbMath0794.62059MaRDI QIDQ4299025
Publication date: 29 June 1994
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00174.x
variance; semiparametric estimation; bias; fractional differencing; periodogram regression; log-periodogram; approximate mean squared errors; estimation of the difference parameters; fractionally integrated seasonal processes; risk of fractional misspecification
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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