Semiparametric Inference in Seasonal and Cyclical Long Memory Processes

By Josu Arteche, Peter M. Robinson. 2000

152 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/c401b86f9451ba4f72beadc20b18251f9d61ec54

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In Economics and Econometrics

1. Josu Arteche
2. Pierre Perron
3. Jie Hou

Citations in the corpus

• Semiparametric robust tests on seasonal or cyclical long memory time series (2002, methodology): “In contrast, the more flexible process used by Chan and Terrin (1995), Chan and Wei (1988), Giraitis and Leipus (1995) or Robinson (1994), ð1 LÞd0 Yh 1 j¼1 ð1 2L cosxj þ L2Þdj ( ) ð1þ LÞdhxt ¼ ut ð1:6Þ where xj can be any frequency between 0 and p and ut has a continuous and positive spectrum,…”
• Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models (2004, methodology): “…memory parameters due to spectral misspecification at frequencies far from those of interest, Robinson (1995b) in the standard long memory case and Arteche and Robinson (2000) under SCLM adopted an idea first suggested by Kunsch (1987) and proposed a narrow frequency band version of (13) such…”