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You searched for "long memory"

Econometrics Paper
Multiple Local Whittle Estimation in Stationary Systems Peter M Robinson
October 2007
Paper No' EM/2007/525:
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JEL Classification: C32


Tags: long memory; phase; cointegration; semiparametric estimation; consistency; asymptotic normality.

Econometrics Paper
Consistent estimation of the memory parameter for nonlinear time series Violetta Dalla, Liudas Giraitis and Javier Hidalgo
January 2006
Paper No' EM/2006/497:
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JEL Classification: C14; C22


Tags: long memory; semiparametric estimation; local whittle estimator.

Econometrics Paper
Modelling Memory of Economic and Financial Time Series Peter M Robinson
March 2005
Paper No' EM/2005/487:
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JEL Classification: C22


Tags: long memory; short memory; stochastic volatility

Econometrics Paper
Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole Javier Hidalgo
January 2005
Paper No' EM/2005/481:
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JEL Classification: C14; G22


Tags: spectral density estimation; long memory processes; gaussian processes

Econometrics Paper
LARCH, Leverage and Long Memory Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis
October 2003
Paper No' EM/2003/460:
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Tags: leverage; long memory; linear arch; larch; finiteness of moments.

Econometrics Paper
Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory Liudas Giraitis and Peter M Robinson
September 2002
Paper No' EM/2002/438:
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Tags: edgeworth expansion; long memory; semiparametric estimation.

Econometrics Paper
Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory Javier Hidalgo and Peter M Robinson
September 2001
Paper No' EM/2001/427:
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Tags: time series regression; long memory; adaptive estimation.

Econometrics Paper
Determination of Cointegrating Rank in Fractional Systems Peter M Robinson and Yoshihiro Yajima
July 2001
Paper No' EM/2001/423:
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Tags: fractional cointegration; long memory.

Econometrics Paper
A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.) Ignacio Lobato and Peter M Robinson November 1997
Paper No' EM/1997/342:
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Tags: nonparametric testing; weak dependence; long memory

Econometrics Paper
Beta Convergence C Michelacci and Paolo Zaffaroni
July 1997
Paper No' EM/1997/332:
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Tags: growth model; convergence; long memory; aggregation

Econometrics Paper
Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices Paolo Zaffaroni
May 1997
Paper No' EM/1997/329:
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Tags: stochastic volatility; long memory; asymptotics.

Econometrics Paper
Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.) Peter M Robinson and Paolo Zaffaroni January 1997
Paper No' EM/1997/320:
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Tags: long memory; two-shock model; stochastic volatility

Econometrics Paper
Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.) Peter M Robinson and Paolo Zaffaroni January 1997
Paper No' EM/1997/319:
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Tags: long memory; arch; nonlinear moving average. jel no.: c22

Econometrics Paper
Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.) Javier Hidalgo February 1996
Paper No' EM/1996/295:
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Tags: long memory; spectral density matrix; spectral estimation; weighted autocovariance