Long memory and long run variation
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References listed on IDEAS
- Lieberman, Offer & Phillips, Peter C.B., 2008.
"A complete asymptotic series for the autocovariance function of a long memory process,"
Journal of Econometrics,
Elsevier, vol. 147(1), pages 99-103, November.
- Offer Lieberman & Peter C.B. Phillips, 2006. "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Cowles Foundation Discussion Papers 1586, Cowles Foundation for Research in Economics, Yale University.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
- Robinson, P.M., 2008. "Diagnostic testing for cointegration," Journal of Econometrics, Elsevier, vol. 143(1), pages 206-225, March.
- Shimotsu, Katsumi, 2007.
"Gaussian semiparametric estimation of multivariate fractionally integrated processes,"
Journal of Econometrics,
Elsevier, vol. 137(2), pages 277-310, April.
- Katsumi Shimotsu, 2006. "Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes," Working Papers 1062, Queen's University, Department of Economics.
- Phillips, Peter C.B. & Kim, Chang Sik, 2007.
"Long-Run Covariance Matrices For Fractionally Integrated Processes,"
Cambridge University Press, vol. 23(06), pages 1233-1247, December.
- Peter C.B. Phillips & Chang Sik Kim, 2007. "Long Run Covariance Matrices for Fractionally Integrated Processes," Cowles Foundation Discussion Papers 1611, Cowles Foundation for Research in Economics, Yale University.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Simos Theodore, 2012. "On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-26, November.
More about this item
KeywordsAsymptotic expansion Autocovariance function Fractional pole Fourier integral Generalized function Long memory Long range dependence Singularity;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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