Bias correction of persistence measures in fractionally integrated models
Simone D. Grose, Gael M. Martin and D.S. Poskitt
| Year of publication: |
September 2014 ; Revised 13, 29
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|---|---|
| Authors: | Grose, Simone D. ; Martin, Gael M. ; Poskitt, Donald Stephen |
| Publisher: |
Victoria : Monash University, Department of Econometrics and Business Statistics |
| Subject: | Long memory | ARFIMA | sieve bootstrap | bootstrap-based biascorrection | sample autocorrelation function | impulse response function | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation | ARMA-Modell | ARMA model | Stichprobenerhebung | Sampling | Systematischer Fehler | Bias |
freely available
| Extent: | 1 Online-Ressource (circa 42 Seiten) Illustrationen |
|---|---|
| Series: | Working paper / Department of Econometrics and Business Statistics, Monash University. - Clayton, Vic., ZDB-ID 2419033-0. - Vol. 14, 19 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011780804