Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation
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- Guggenberger, Patrik & Sun, Yixiao, 2006. "Bias-Reduced Log-Periodogram And Whittle Estimation Of The Long-Memory Parameter Without Variance Inflation," Econometric Theory, Cambridge University Press, vol. 22(05), pages 863-912, October.
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- Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
- Hassler, Uwe, 2011.
"Estimation of fractional integration under temporal aggregation,"
Journal of Econometrics,
Elsevier, vol. 162(2), pages 240-247, June.
- Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
- Valdério A. Reisen & Eric Moulines & Philippe Soulier & Glaura C. Franco, 2010. "On the properties of the periodogram of a stationary long-memory process over different epochs with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 20-36, January.
- Yoonseok Lee & Yu Zhou, 2015. "Averaged Instrumental Variables Estimators," Center for Policy Research Working Papers 180, Center for Policy Research, Maxwell School, Syracuse University.
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KeywordsAdaptive Estimation; Asymptotic Bias; Asymptotic Normality; Bias Reduction; Frequency Domain; Long-Range Dependence; Rate of Convergence;
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