• NEP-ALL-2004-06-02 (All new papers)
• NEP-ETS-2004-06-02 (Econometric Time Series)

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. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September. [Downloadable!] (restricted)
   Other versions:
   • Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
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:
   • Marcus J. Chambers, . "Long Memory and Aggregation in Macroeconomic Time Series," Economics Discussion Papers 437, University of Essex, Department of Economics.
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. 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.
8. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348. [Downloadable!] (restricted)
9. Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July. [Downloadable!] (restricted)
10. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September. [Downloadable!] (restricted)
    Other versions:
    • Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]

Cited by:
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1. Khan, M. Ali, 2003. "On choice of technique in the Robinson-Solow-Srinivasan model," Economics Working Papers (Ensaios Economicos da EPGE) 504, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
2. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-425, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
3. Souza, Leonardo Rocha & Smith, Jeremy & Souza, Reinaldo Castro de, 2003. "Convex Combinations of Long Memory Estimates from Different Sampling Rates," Economics Working Papers (Ensaios Economicos da EPGE) 489, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
   Other versions:
   • Leonardo Souza & Jeremy Smith & Reinaldo Souza, 2006. "Convex combinations of long memory estimates from different sampling rates," Computational Statistics, Springer, vol. 21(3), pages 399-413, December. [Downloadable!] (restricted)
4. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, School of Economics and Management, University of Aarhus. [Downloadable!]