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A Generalized Method of Moments Estimator for Long-Memory Processes

Author

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  • Tieslau, M.
  • Schmidt, P.
  • Baillie, R.

    (Tilburg University, School of Economics and Management)

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Suggested Citation

  • Tieslau, M. & Schmidt, P. & Baillie, R., 1992. "A Generalized Method of Moments Estimator for Long-Memory Processes," Other publications TiSEM fdff9439-aa8a-44b0-9f62-f, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:fdff9439-aa8a-44b0-9f62-fffa174058c7
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    Cited by:

    1. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.

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