A Generalized Method of Moments Estimator for Long-Memory Processes
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Bibliographic InfoPaper provided by Michigan State - Econometrics and Economic Theory in its series Papers with number 9100.
Length: 19 pages
Date of creation: 1992
Date of revision:
Contact details of provider:
Postal: MICHIGAN STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, EAST LANSING MICHIGAN 48824 U.S.A.
Web page: http://econ.msu.edu/
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econometrics ; time series;
Other versions of this item:
- Tieslau, M.A. & Schmidt, P. & Baillie, R.T., 1992. "A Generalized Method of Moments Estimator for Long-Memory Processes," Papers 9247, Tilburg - Center for Economic Research.
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- Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel, 1995.
"Bayesian Analysis of Long Memory and Persistence using ARFIMA Models,"
9505001, EconWPA, revised 11 Jul 1995.
- Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
- Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., . "Bayesian analysis of long memory and persistence using ARFIMA models," CORE Discussion Papers RP -1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics.
- KOOP , Gary & LEY , Eduardo & OSIEWALSKI , Jacek & STEEL , Mark, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," CORE Discussion Papers 1995035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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