Multiple Local Whittle Estimation in StationarySystems
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More about this item
Keywords
Long memory; phase; cointegration; semiparametricestimation; consistency; asymptotic normality.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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