Browsing FGV EPGE - Ensaios Econômicos by Title "Temporal aggregation and bandwidth selection in estimating long memory"

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Temporal aggregation and bandwidth selection in estimating long memory

Souza, Leonardo Rocha
2003-03-30

This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of temporally aggregating series and using less bandwidth in estimating long memory by Geweke and Porter-Hudak’s (1983) estimator, ...