when transformed by wavelets.In this paper we generalize the long-memory parameter estimator of McCoy and Walden (1996) to … estimatesimultaneously the short and long-memory parameters. Using the sparse wavelet representation of a matrixoperator, we are able to … likelihood estimates of the ARFIMA model.By simultaneously maximizing the likelihood function over both the short and long-memory …

This paper demonstrates that long memory leads to spurious rejection of the linearity hypothesis, when a STAR …

family, and model time-varying volatility by a GARCH(1,1) process. We also allow for the possibility of long memory in the …

estimator of the long-memory parameter of a stationary sequence with long range dependence and studied its empirical performance …

when transformed by wavelets.In this paper we generalize the long-memory parameter estimator of McCoy and Walden (1996) to … estimatesimultaneously the short and long-memory parameters. Using the sparse wavelet representation of a matrixoperator, we are able to … likelihood estimates of the ARFIMA model.By simultaneously maximizing the likelihood function over both the short and long-memory …

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long …-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since … whether evidence for long memory (indicated by the relevance of an ARFIMA model) in G7 inflation rates is spurious or …

. While we cannot reject the hypothesis that nominal interest rates have a unit root, we find that inflation is a long-memory …