Discrete Fourier Transforms of Fractional Processes with Econometric Applications
In: Essays in Honor of Joon Y. Park: Econometric Theory
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DOI: 10.1108/S0731-90532023000045A001
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- Peter C.B. Phillips, 2021. "Discrete Fourier Transforms of Fractional Processes with Econometric Applications," Cowles Foundation Discussion Papers 2303, Cowles Foundation for Research in Economics, Yale University.
References listed on IDEAS
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More about this item
Keywords
Discrete Fourier transform; fractional Brownian motion; fractional integration; log periodogram regression; nonstationarity; operator decomposition; semiparametric estimation; Whittle likelihood; C22;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
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