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Bias in the memory parameter for different sampling rates

  • Souza, Leonardo R.
  • Smith, Jeremy

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File URL: http://www.sciencedirect.com/science/article/B6V92-44XK6RH-4/2/56199394d59a827d85a9180066496d16
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 18 (2002)
Issue (Month): 2 ()
Pages: 299-313

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Handle: RePEc:eee:intfor:v:18:y:2002:i:2:p:299-313
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  1. Andersson, Michael K., 2000. "Do long-memory models have long memory?," International Journal of Forecasting, Elsevier, vol. 16(1), pages 121-124.
  2. Marcus J. Chambers, . "Long Memory and Aggregation in Macroeconomic Time Series," Economics Discussion Papers 437, University of Essex, Department of Economics.
  3. Chambers, Marcus J., 1996. "The Estimation of Continuous Parameter Long-Memory Time Series Models," Econometric Theory, Cambridge University Press, vol. 12(02), pages 374-390, June.
  4. Andersson, Michael K., 1998. "Do Long-Memory Models Have Long Memory?," SSE/EFI Working Paper Series in Economics and Finance 227, Stockholm School of Economics, revised 16 Mar 2000.
  5. Bisaglia, Luisa & Guegan, Dominique, 1998. "A comparison of techniques of estimation in long-memory processes," Computational Statistics & Data Analysis, Elsevier, vol. 27(1), pages 61-81, March.
  6. In Choi & Bhum Suk Chung, 1995. "Sampling frequency and the power of tests for a unit root: A simulation study," Economics Letters, Elsevier, vol. 49(2), pages 131-136, August.
  7. Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
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