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A Generalized Method of Moments Estimator for Long-Memory Processes

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  • Tieslau, M.A.
  • Schmidt, P.
  • Baillie, R.T.

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  • Tieslau, M.A. & Schmidt, P. & Baillie, R.T., 1992. "A Generalized Method of Moments Estimator for Long-Memory Processes," Papers 9100, Michigan State - Econometrics and Economic Theory.
    • Handle: RePEc:fth:mistet:9100
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    Cited by:

    1. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.

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    Keywords

    econometrics ; time series;

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