Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
Authors:
- Jie HouJHJie Hou
- Pierre PerronPPPierre Perron
- 1 October 2014
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 182 (2) , 309-328
Abstract
No abstract availableThis publication has 30 references indexed in Scilit:
- A Test Against Spurious Long MemoryJournal of Business & Economic Statistics, 2011
- Long-Memory and Level Shifts in the Volatility of Stock Market Return IndicesJournal of Business & Economic Statistics, 2010
- Local Whittle estimation of the memory parameter in presence of deterministic componentsJournal of Time Series Analysis, 2010
- True or Spurious Long Memory? A New TestJournal of Business & Economic Statistics, 2008
- What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural BreaksSSRN Electronic Journal, 2005
- Estimating Long Memory in VolatilityEconometrica, 2005
- Adaptive Local Polynomial Whittle Estimation of Long-range DependenceEconometrica, 2004
- Gaussian Semiparametric Estimation of Long Range DependenceThe Annals of Statistics, 1995
- Log-Periodogram Regression of Time Series with Long Range DependenceThe Annals of Statistics, 1995
- Efficient Parameter Estimation for Self-Similar ProcessesThe Annals of Statistics, 1989