True versus spurious long memory : some theoretical results and a Monte Carlo comparison
Arturo Leccadito, Omar Rachedi and Giovanni Urga
| Year of publication: |
2015
|
|---|---|
| Authors: | Leccadito, Arturo ; Rachedi, Omar ; Urga, Giovanni |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 34.2015, 1/5, p. 452-479
|
| Subject: | Fractional integration | Regime switching | Structural break | Strukturbruch | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011373268