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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/3676
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| ws930202.pdf | -- 2009-02-17 -- Available on Internet -- preprint | 550,19 kB | Adobe PDF | |  |
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| Title: | New methods for the analysis of long memory time series: application to Spanish inflation |
| Author(s): | Delgado, Miguel A. [delgado]
Robinson, Peter M. |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Feb-1993 |
| URI: | http://hdl.handle.net/10016/3676 |
| Abstract: | Models for long-memory time series are considered, in which the autocovariance sequence is only parameterized at very long lags, or the spectral density is only parametized at very low frequencies. Various recently proposed methods for estimating the differencing parameters are reviewed, and applied to an economic time series of prices in Spain. |
| Serie / Nº.: | UC3M Working Papers. Statistics and Econometrics
1993-02-02 |
| Keywords: | Long memory
Differencing parameters
Semiparametric estimation
Autocovariance
Averaged periodogram regression
Inflation rate |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
Economists Online
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