Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation
Year of publication: |
2004-11-01
|
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Authors: | Guggenberger, Patrik ; Sun, Yixiao |
Institutions: | Department of Economics, University of California-San Diego (UCSD) |
Subject: | Adaptive Estimation | Asymptotic Bias | Asymptotic Normality | Bias Reduction | Frequency Domain | Long-Range Dependence | Rate of Convergence |
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