MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS

By Adam Mccloskey, Pierre Perron. Econometric Theory, 2013

59 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7a3a38fc6cb9663c118946359baba129d3688371

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. Jie Hou
2. Pierre Perron
3. Muhammad Shahbaz
4. Dukpa Kim
5. Alan M. Taylor
6. S. Leybourne
7. Tomoyoshi Yabu
8. David I. Harvey

In Finance

1. Jie Hou
2. Pierre Perron
3. Zhongjun Qu
4. Dukpa Kim
5. Serena Ng
6. Tomoyoshi Yabu

In Management Science and Operations Research

1. Jie Hou
2. Pierre Perron
3. M. Wohar
4. David E. Rapach

Citations in the corpus

• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (2014, methodology): “For reasons discussed by Hurvich, et. al. (2005), the LWPLFC approach is expected to work only when d0 is not too close to zero.”