Econometrics Paper

Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in 'Journal of Time Series Analysis', 21 (2000), pp.1-25.)

Josu Artech and Peter M Robinson

Several semiparametric estimates of the memory parameter in standard long memory time series are now available. They consider only local behaviour of the spectrum near zero frequency, about which the spectrum is symmetri...Read more...