Testing for the presence of noise in long memory processes [in Japanese]
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References listed on IDEAS
- Fukao, Kyoji & Ma, Debin & Yuan, Tangjun, 2006. "International comparison in historical perspective: Reconstructing the 1934-1936 Benchmark purchasing power parity for Japan, Korea, and Taiwan," Explorations in Economic History, Elsevier, vol. 43(2), pages 280-308, April.
- Bassino, Jean‐Pascal & Ma, Debin & Saito, Osamu, 2005. "Levels of Real Wages in Historic China, Japan and Southern Europe, 1700-1920―A Review of Evidence―," Economic Review, Hitotsubashi University, vol. 56(4), pages 348-369, January.
More about this item
Keywordslong-term memory; realized volatility; observation error; semi-parametric; local Whittle model;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-12 (All new papers)
- NEP-ECM-2008-01-12 (Econometrics)
- NEP-ETS-2008-01-12 (Econometric Time Series)
- NEP-MST-2008-01-12 (Market Microstructure)
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