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Year of publication
Subject
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Asymptotic bias 1 Asymptotic normality 1 Bias reduction 1 Fractional components model 1 Perturbed fractional process 1 Rate of convergence 1 Testing perturbations 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Phillips, Peter C.B. 1 Sun, Yixiao 1
Institution
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Cowles Foundation for Research in Economics, Yale University 1
Published in...
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Cowles Foundation Discussion Papers 1
Source
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RePEc 1
Showing 1 - 1 of 1
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Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2002
This paper studies fractional processes that may be perturbed by weakly dependent time series. The model for a perturbed fractional process has a components framework in which there may be components of both long and short memory. All commonly used estimates of the long memory parameter (such as...
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