Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
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DOI: 10.1016/j.jeconom.2014.05.004
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More about this item
Keywords
Long memory process; Random level shifts; Short memory dynamics; Additive noise; Local-Whittle estimators;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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