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A minimum distance estimator for long-memory processes

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Author Info
Tieslau, Margie A.
Schmidt, Peter
Baillie, Richard T.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3VWPP00-C/2/6cf037e5e1566b08391e59ce04195a33
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 71 (1996)
Issue (Month): 1-2 ()
Pages: 249-264
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Handle: RePEc:eee:econom:v:71:y:1996:i:1-2:p:249-264

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Web page: http://www.elsevier.com/locate/jeconom

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  1. D. S. Poskitt, 2005. "Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases," Monash Econometrics and Business Statistics Working Papers 16/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  2. Torben G. Andersen & Tim Bollerslev, 1996. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers 5752, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. John Galbraith & Victoria Zinde-Walsh, 2001. "Autoregression-Based Estimators for ARFIMA Models," CIRANO Working Papers 2001s-11, CIRANO. [Downloadable!]
  4. Aaron D. Smallwood & Paul M. Beaumont, 2002. "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002 285, Society for Computational Economics. [Downloadable!]
  5. Terence Tai-Leung Chong, 2007. "Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter," Economics Bulletin, Economics Bulletin, vol. 3(67), pages 1-10. [Downloadable!]
  6. Mark J. Jensen, 1997. "An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets," Econometrics 9709002, EconWPA. [Downloadable!]
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  7. Helena Veiga, 2006. "A Two Factor Long Memory Stochastic Volatility Model," Statistics and Econometrics Working Papers ws061303, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  8. Laura Mayoral, 2006. "Minimum Distance Estimation of stationary and non-stationary ARFIMA Processes," Economics Working Papers 959, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    Other versions:
  9. repec:bep:sndecm:11:2007:2:1382-1382 is not listed on IDEAS
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