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Averaged periodogram estimation of long memory

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  • Lobato, I.
  • Robinson, P. M.

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  • Lobato, I. & Robinson, P. M., 1996. "Averaged periodogram estimation of long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 303-324, July.
    • Handle: RePEc:eee:econom:v:73:y:1996:i:1:p:303-324
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    References listed on IDEAS

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    1. Delgado, Miguel A. & Robinson, Peter M., 1993. "Optimal spectral bandwidth for long memory," DES - Working Papers. Statistics and Econometrics. WS 3738, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Andrew Harvey (ed.), 1994. "Time Series," Books, Edward Elgar Publishing, volume 0, number 599.
    3. G. J. Janacek, 1982. "Determining The Degree Of Differencing For Time Series Via The Log Spectrum," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 177-183, May.
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