Estimating memory parameter in the US inflation rate

DOI10.1016/j.econlet.2004.11.004zbMath1254.91673OpenAlexW2090279032MaRDI QIDQ1927805

Jin Lee

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.11.004

zbMATH Keywords

waveletslong memory process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation

Cites Work

• Inference on the cointegration rank in fractionally integrated processes.
• Log-periodogram regression of time series with long range dependence
• Exact local Whittle estimation of fractional integration
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• On the Spectral Density of the Wavelet Transform of Fractional Brownian Motion
• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• Unnamed Item

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