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Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers with number 40-2006.

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Length: 29 pages
Date of creation: Jul 2006
Date of revision:
Handle: RePEc:icr:wpicer:40-2006

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Keywords: long memory; common long memory factor model; permanent-persistent-non persistent decomposition; permanent-transitory decomposition.;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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   • DONALD ANDREWS & Yixiao Sun, 2002. "Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence," University of California at San Diego, Economics Working Paper Series 2002-17, Department of Economics, UC San Diego. [Downloadable!]
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    • Peter M Robinson & Yoshihiro Yajima, 2001. "Determination of Cointegrating Rank in Fractional Systems," STICERD - Econometrics Paper Series /2001/423, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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12. repec:bep:sndecm:6:2002:3:1092-1092 is not listed on IDEAS
13. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation, Yale University. [Downloadable!]
14. Sun, Yixiao & Phillips, Peter C. B., 2003. "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 115(2), pages 355-389, August. [Downloadable!] (restricted)
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    • Yixiao Sun & Peter C.B. Phillips, 2002. "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes," Cowles Foundation Discussion Papers 1366, Cowles Foundation, Yale University. [Downloadable!]
15. Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September. [Downloadable!] (restricted)

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