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Author: Marc Henry
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Marc Henry and Peter M Robinson
Econometric interest in the possibility of long memory has developed as a flexible alternative to, or compromise between, the usual short memory or unit root prescriptions, for example in the context of modelling cointeg...Read more...
Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent large sample theory f...Read more...