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Semiparametric inference in seasonal and cyclical long memory processes

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Author Info

  • Josu Arteche
  • Peter M. Robinson

Abstract

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File URL: http://eprints.lse.ac.uk/2203/
File Function: Open access version.
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Bibliographic Info

Paper provided by London School of Economics and Political Science, LSE Library in its series LSE Research Online Documents on Economics with number 2203.

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Length: 24 pages
Date of creation: Sep 1998
Date of revision:
Handle: RePEc:ehl:lserod:2203

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Postal: LSE Library Portugal Street London, WC2A 2HD, U.K.
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Web page: http://www.lse.ac.uk/
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Related research

Keywords: Semiparametric inference; long memory; seasonality;

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Cited by:
  1. Javier Hidalgo, 2005. "Semiparametric estimation for stationary processes whose spectra have an unknown pole," LSE Research Online Documents on Economics 6842, London School of Economics and Political Science, LSE Library.
  2. Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
  3. Violetta Dalla & Javier Hidalgo, 2005. "A parametric bootstrap test for cycles," LSE Research Online Documents on Economics 6829, London School of Economics and Political Science, LSE Library.
  4. Josu Artech & Peter M Robinson, 1998. "Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)," STICERD - Econometrics Paper Series /1998/360, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

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