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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:
Read Abstract | Full Paper (pdf)

JEL Classification: C14; C22


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

Econometrics Paper
A Parametric Bootstrap Test for Cycles Violetta Dalla and Javier Hidalgo
February 2005
Paper No' EM/2005/486:
Read Abstract | Full Paper (pdf)

JEL Classification: C15; C22


Tags: cyclical data; strong and weak dependence; spectral density functions; whittle estimator; bootstrap algorithms