Spectral analysis for bivariate time series with long memory

Econometric Theory

Volumn 12, Issue 5, 1996, Pages 773-792

  Hidalgo, J ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030364796     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600007155     Document Type: Article

References (6)

1. Andrews, D.W.K. (1991) Heteroscedastic and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-858.
2. Brillinger, D.R. (1979) Confidence intervals for the crossvariance function. Selecta Statistica Canadian 5, 3-16.
3. Brillinger, D.R. (1981) Time Series. Data Analysis and Theory. New York: Holden-Day.
4. Brillinger, D.R. & M. Hatanaka (1970) A permanent income hypothesis relating to the aggregate demand for money (an application of spectral and moving spectral analysis). Economic Studies Quarterly 21, 44-71.
5. Dahlhaus, R. (1989) Efficient parameter estimation for self-similar processes. Annals of Statistics 17, 1749-1766.
6. Fox, R. & M.S. Taqqu (1986) Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series. Annals of Statistics 14, 517-532.