The estimation of continuous parameter long-memory time series models

Econometric Theory

Volumn 12, Issue 2, 1996, Pages 374-390

  Chambers, Marcus J ^a  

^a UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030547111     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600006642     Document Type: Article

References (7)

1. Bergstrom, A.R. (1984) Continuous time stochastic models and issues of aggregation over time. In Z. Griliches & M.D. Intriligator (eds.), Handbook of Econometrics, vol. 2, pp. 1146-1212. Amsterdam: North-Holland.
2. Bergstrom, A.R. (1988) The history of continuous time econometric models. Econometric Theory 5, 365-383.
3. Dahlhaus, R. (1989) Efficient parameter estimation for self-similar processes. Annals of Statistics 17, 1749-1766.
4. Fox, R. & M. Taqqu (1986) Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series. Annals of Statistics 14, 517-532.
5. Gel'fand, I.M. & G.E. Shilov (1964) Generalized Functions. Vol. 1: Properties and Operations. New York: Academic Press.
6. Geweke, J. & S. Porter-Hudak (1983) The estimation and application of long memory time series models. Journal of Time Series Analysis 4, 221-238.
7. Granger, C.W.J. (1966) The typical spectral shape of an economic variable. Econometrica 34, 150-161.