Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in 'Journal of Time Series Analysis', 18 (1997), pp.49-60.)
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Cited by:
- Michelacci, Claudio, 2004.
"Cross-sectional heterogeneity and the persistence of aggregate fluctuations,"
Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1321-1352, October.
- Michelacci, C., 1999. "Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations," Papers 9906, Centro de Estudios Monetarios Y Financieros-.
- Michelacci, Claudio, 2004. "Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations," CEPR Discussion Papers 4302, C.E.P.R. Discussion Papers.
- Arteche, Josu, 2004.
"Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models,"
Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.
- Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Claudio Michelacci, 1999. "Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations," Working Papers wp1999_9906, CEMFI.
- Robinson, Peter M., 2014. "The estimation of misspecified long memory models," LSE Research Online Documents on Economics 53692, London School of Economics and Political Science, LSE Library.
- Hidalgo, Javier, 2005. "Semiparametric estimation for stationary processes whose spectra have an unknown pole," LSE Research Online Documents on Economics 6842, London School of Economics and Political Science, LSE Library.
- Javier Hidalgo, 2005. "Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole," STICERD - Econometrics Paper Series 481, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- repec:cte:wsrepe:4554 is not listed on IDEAS
- Robinson, Peter M., 2014. "The estimation of misspecified long memory models," Journal of Econometrics, Elsevier, vol. 178(P2), pages 225-230.
- D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012.
"Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap,"
Monash Econometrics and Business Statistics Working Papers
8/12, Monash University, Department of Econometrics and Business Statistics.
- D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2014. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 10/14, Monash University, Department of Econometrics and Business Statistics.
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Keywords
Long-range dependence; semiparametric models; optimal rates of convergence; lower bounds;All these keywords.
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