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Search: subject:"Short memory dynamics"
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ARMA model
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Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.
;
Nadarajah, K.
;
Poskitt, Donald Stephen
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 559-573
Persistent link: https://www.econbiz.de/10012439500
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2
Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
Hou, Jie
;
Perron, Pierre
- In:
Journal of Econometrics
182
(
2014
)
2
,
pp. 309-328
frequency contamination reduces the bias due to
short-memory
dynamics
. Through extensive simulations, we show that the proposed …
Persistent link: https://www.econbiz.de/10010906797
Saved in:
3
Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
Hou, Jie
;
Perron, Pierre
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 309-328
Persistent link: https://www.econbiz.de/10010497755
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