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A Generalized Method of Moments Estimator for Long-Memory Processes

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Author Info
Tieslau, M.A.
Schmidt, P.
Baillie, R.T.

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Abstract

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Publisher Info
Paper provided by Tilburg - Center for Economic Research in its series Papers with number 9247.

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Length: 22 pages
Date of creation: 1992
Date of revision:
Handle: RePEc:fth:tilbur:9247

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Postal: TILBURG UNIVERSITY, CENTER FOR ECONOMIC RESEARCH, 5000 LE TILBURG THE NETHERLANDS.
Phone: 31 13 4663050
Fax: 31 13 4663066
Web page: http://center.kub.nl/
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Related research
Keywords: economic models econometrics

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  1. Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics. [Downloadable!]
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