Delgado, Miguel A.; Hidalgo, Javier; Velasco, Carlos - Suntory and Toyota International Centres for Economics … - 2005
¯
¯
¯
¯
¯
T
X
t=1
V (t)e
itλ
j
¯
¯
¯
¯
¯
2
,j=1,...,
˜
T,
denotes the periodogram of {V (t)}
T
t=1
evaluated at the Fourier … singularity of h at λ=0.Itholds
for models exhibiting long-range dependence, like ARFIMA(p
2
,d,p
1
) models with d6=0, as
can … number of autocorrelations considered diverges to
infinity with the sample size at an appropriate rate. A different approach …