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ArticleNonstationarity-extended local Whittle estimation

Karim Maher Abadir2007

Article2007

Nonstationarity-extended local Whittle estimation

Karim Maher Abadir · Walter Distaso · Liudas Giraitis

230 citations·0/0 files stored·Journal of Econometrics

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Complex Systems and Time Series Analysis Monetary Policy and Economic Impact Time Series Analysis and Forecasting

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1995Gaussian Semiparametric Estimation of Long Range Dependence 1995Log-Periodogram Regression of Time Series with Long Range Dependence 2003Theory and applications of long-range dependence 2002Exact Local Whittle Estimation of Fractional \nIntegration 1999Gaussian Semiparametric Estimation of Non‐stationary Time Series 1999Alternative forms of fractional Brownian motion

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Year2007

Typearticle

Published2007-03-29

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations230

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.jeconom.2007.01.020

openalex_workW1986830659

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