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BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
1989Long memory and persistence in aggregate output546 cited
1990An Application of the Seasonal Fractionally Differenced Model to the Monetary Aggregates226 cited

Cited by

1995ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES174 cited
2002Long memory in stock returns: some international evidence156 cited
2003A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter156 cited
1996Testing for a change of the long-memory parameter139 cited
2004Adaptive Local Polynomial Whittle Estimation of Long-range Dependence133 cited
1996Model selection and forecasting for long-range dependent processes103 cited
1994AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES93 cited
2005Level Shifts and the Illusion of Long Memory in Economic Time Series91 cited
1998Investigating Political Dynamics Using Fractional Integration Methods89 cited
2000You must remember this: dealing with long memory in political analyses87 cited

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2000Fractional integration methods in political science84 cited

2005Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration74 cited

2004Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 199770 cited

2003Long memory and outliers in stock market returns63 cited

2005Fractional integration in daily stock market indexes57 cited

2012No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth54 cited