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Convex combinations of long memory estimates from different sampling rates

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Author Info
Leonardo Souza ()
Jeremy Smith ()
Reinaldo Souza

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Abstract

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File URL: http://hdl.handle.net/10.1007/s00180-006-0002-3
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Publisher Info
Article provided by Springer in its journal Computational Statistics.

Volume (Year): 21 (2006)
Issue (Month): 3 (December)
Pages: 399-413
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Handle: RePEc:spr:compst:v:21:y:2006:i:3:p:399-413

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Related research
Keywords: Convex combination; Long memory; Sampling rate;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bisaglia, Luisa & Guegan, Dominique, 1998. "A comparison of techniques of estimation in long-memory processes," Computational Statistics & Data Analysis, Elsevier, vol. 27(1), pages 61-81, March. [Downloadable!] (restricted)
  2. Man, K. S., 2003. "Long memory time series and short term forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 477-491. [Downloadable!] (restricted)
  3. Chambers, Marcus J, 1998. "Long Memory and Aggregation in Macroeconomic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-72, November.
    Other versions:
  4. Souza, Leonardo R. & Smith, Jeremy, 2004. "Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study," International Journal of Forecasting, Elsevier, vol. 20(3), pages 487-502. [Downloadable!] (restricted)
  5. Souza, Leonardo R. & Smith, Jeremy, 2002. "Bias in the memory parameter for different sampling rates," International Journal of Forecasting, Elsevier, vol. 18(2), pages 299-313. [Downloadable!] (restricted)
  6. Souza, Leonardo Rocha, 2003. "The Aliasing Effect, the Fejer Kernel and Temporally Aggregated Long Memory Processes," Economics Working Papers (Ensaios Economicos da EPGE) 470, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  7. Andersson, Michael K., 1998. "Do Long-Memory Models Have Long Memory?," Working Paper Series in Economics and Finance 227, Stockholm School of Economics, revised 16 Mar 2000.
  8. Smith, Jeremy & Taylor, Nick & Yadav, Sanjay, 1995. "Comparing the Bias and Misspecification in Arfima Models," The Warwick Economics Research Paper Series (TWERPS) 442, University of Warwick, Department of Economics.
  9. R. Tschernig, . "Long Memory in Foreign Exchange Rates Revisited," Sonderforschungsbereich 373 1994-46, Humboldt Universitaet Berlin.
  10. Souza, Leonardo Rocha, 2003. "Temporal Aggregation and Bandwidth Selection in Estimating Long Memory," Economics Working Papers (Ensaios Economicos da EPGE) 478, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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  11. Andersson, Michael K., 2000. "Do long-memory models have long memory?," International Journal of Forecasting, Elsevier, vol. 16(1), pages 121-124. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Monteiro, Paulo Klinger, 2004. "The set of equilibria of first-price auctions," Economics Working Papers (Ensaios Economicos da EPGE) 536, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  2. Ferreira, Pedro Cavalcanti Gomes & Facchini, Giovanni, 2004. "Trade liberalization and industrial concentration: Evidence from Brazil," Economics Working Papers (Ensaios Economicos da EPGE) 531, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
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