Estimating long memory: scaling function vs. Andrews and Guggenberger GPH

DOI10.1016/j.econlet.2006.11.002zbMath1255.62245OpenAlexW2013028245MaRDI QIDQ1934059

Jérôme Fillol

Publication date: 28 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.11.002

zbMATH Keywords

GPH modified

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Monte Carlo methods (65C05)

Uses Software

• longmemo

Cites Work

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• Memory and infrequent breaks
• Log-periodogram regression of time series with long range dependence
• The scaling function-based estimator of long memory in the presence of a short-term component
• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• Long memory and regime switching