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Convex Combinations of Long Memory Estimates from Different Sampling Rates

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  • Souza, Leonardo Rocha
  • Smith, Jeremy
  • Souza, Reinaldo Castro de

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Paper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 489.

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Date of creation: 02 Jul 2003
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Handle: RePEc:fgv:epgewp:489

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  1. 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.
  2. Leonardo Rocha Souza, 2007. "Temporal Aggregation and Bandwidth selection in estimating long memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(5), pages 701-722, 09.
  3. Andersson, Michael K., 2000. "Do long-memory models have long memory?," International Journal of Forecasting, Elsevier, vol. 16(1), pages 121-124.
  4. Marcus J. Chambers, . "Long Memory and Aggregation in Macroeconomic Time Series," Economics Discussion Papers 437, University of Essex, Department of Economics.
  5. 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.
  6. 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.
  7. Souza, Leonardo Rocha, 2003. "The Aliasing Effect, the Fejer Kernel and Temporally Aggregated Long Memory Processes," Economics Working Papers (Ensaios Economicos da EPGE) 470, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  8. R. Tschernig, 1994. "Long Memory in Foreign Exchange Rates Revisited," SFB 373 Discussion Papers 1994,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Man, K. S., 2003. "Long memory time series and short term forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 477-491.
  10. 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.
  11. 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.
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Cited by:
  1. Ferreira, Pedro Cavalcanti Gomes & Facchini, Giovanni, 2004. "Trade liberalization and industrial concentration: Evidence from Brazil," Economics Working Papers (Ensaios Economicos da EPGE) 531, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  2. Monteiro, Paulo Klinger, 2004. "The set of equilibria of first-price auctions," Economics Working Papers (Ensaios Economicos da EPGE) 536, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).

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