Inference for estimators of generalized long memory processes
Author:
Affiliation:
1. Department of Economics, Florida State University, Tallahassee, FL, USA
2. Department of Economics, University of Texas at Arlington, Arlington, TX, USA
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610918.2021.2007399
Reference34 articles.
1. Estimation of cyclic long‐memory parameters
2. EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES
3. Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
4. Doubly fractional models for dynamic heteroscedastic cycles
5. Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates
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