Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter
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- Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, University Library of Munich, Germany.
References listed on IDEAS
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More about this item
Keywords
Fractionally Integrated Processes; Long Memory; Wavelets;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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