Pooled Log Periodogram Regression

By Katsumi Shimotsu, Peter C. B. Phillips. 2000

53 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/24ab7c7520d072a8a79643575384cff0e8675ea5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Per Frederiksen
2. Morten Ørregaard Nielsen
3. Katsumi Shimotsu
4. Zhongjun Qu

In Finance

1. Per Frederiksen
2. Morten Ørregaard Nielsen
3. Katsumi Shimotsu
4. Zhongjun Qu
5. Bent Jesper Christensen
6. T. Busch
7. Peter M. Robinson
8. Xiaofeng Shao

Citations in the corpus

• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (2005, methodology): “An exact local Whittle (ELW) estimator has been proposed by Shimotsu & Phillips (2002a) which avoids some of the approximations in the derivation of the LW estimator and is valid for any value of d.”