Local empirical spectral measure of multivariate processes with long range dependence
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- Nielsen, Morten Oe., "undated". "Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence," Economics Working Papers 2002-16, Department of Economics and Business Economics, Aarhus University.
References listed on IDEAS
- Morten Orregaard Nielsen, 2005.
"Semiparametric Estimation in Time-Series Regression with Long-Range Dependence,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 26(2), pages 279-304, March.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zhongjun Qu, 2011.
"A Test Against Spurious Long Memory,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 29(3), pages 423-438, July.
- Zhongjun Qu, 2010. "A Test Against Spurious Long Memory," Boston University - Department of Economics - Working Papers Series WP2010-051, Boston University - Department of Economics.
More about this item
KeywordsBrownian motion Fractional ARIMA Functional central limit theorem Goodness-of-fit test Integrated periodogram Long memory Narrow-band frequency domain least squares;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- 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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