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New methods for the analysis of long memory time series: application to Spanish inflation

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URI: https://hdl.handle.net/10016/3676
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ws930202.pdf (550.19 KB)
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1993-02
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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.
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Long memory, Differencing parameters, Semiparametric estimation, Autocovariance, Averaged periodogram regression, Inflation rate
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DES - Working Papers. Statistics and Econometrics. WS
Economists Online