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Trimming frequencies in log-periodogram regression of long memory time series

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URI: https://hdl.handle.net/10016/10428
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ws9614.pdf (291.08 KB)
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1996-03
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Previous work on log-periodogram regression in time series with long range dependence is reviewed. The effect of both low and large frequencies on the estimate of the fractional difference parameter is analyzed. Some new simulation results are presented.
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Autocorrelation function, Fractional ARIMA models
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DES - Working Papers. Statistics and Econometrics. WS