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Volumn 87, Issue 2, 2005, Pages 207-210

Estimating memory parameter in the US inflation rate

Author keywords

Long memory process; Wavelets

Indexed keywords


EID: 18144375550     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2004.11.004     Document Type: Article
Times cited : (16)

References (10)
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    • A bias-reduced log periodogram regression estimator for the long-memory parameter
    • D.W.K. Andrews P. Guggenberger A bias-reduced log periodogram regression estimator for the long-memory parameter Econometrica 71 2003 675-712
    • (2003) Econometrica , vol.71 , pp. 675-712
    • Andrews, D.W.K.1    Guggenberger, P.2
  • 2
    • 0346349373 scopus 로고    scopus 로고
    • Inference on the cointegration rank in fractionally integrated processes
    • J. Breitung U. Hassler Inference on the cointegration rank in fractionally integrated processes Journal of Econometrics 110 2002 167-185
    • (2002) Journal of Econometrics , vol.110 , pp. 167-185
    • Breitung, J.1    Hassler, U.2
  • 4
    • 17444415454 scopus 로고    scopus 로고
    • The long range dependence paradigm for macroeconomics and finance
    • M. Taqqu P. Doukham G. Oppenheim (Eds.) Birkhauser Boston
    • M. Henry P. Zaffaroni The long range dependence paradigm for macroeconomics and finance In: M. Taqqu P. Doukham G. Oppenheim (Eds.) Theory and Applications of Long-range Dependence 2003 Birkhauser Boston
    • (2003) Theory and Applications of Long-range Dependence
    • Henry, M.1    Zaffaroni, P.2
  • 5
    • 0002670989 scopus 로고    scopus 로고
    • The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time Series
    • C.M. Hurbich R. Deo J. Brodsky The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time Series Journal of Time Series Analysis 19 1998 19-46
    • (1998) Journal of Time Series Analysis , vol.19 , pp. 19-46
    • Hurbich, C.M.1    Deo, R.2    Brodsky, J.3
  • 6
    • 0039181636 scopus 로고    scopus 로고
    • On the spectral density of the wavelet transform of fractional Brownian motion
    • T. Kato E. Masry On the spectral density of the wavelet transform of fractional Brownian motion Journal of Time Series Analysis 20 1999 559-563
    • (1999) Journal of Time Series Analysis , vol.20 , pp. 559-563
    • Kato, T.1    Masry, E.2
  • 7
    • 0000668540 scopus 로고
    • Log periodogram regression of time series with long range dependence
    • P.M. Robinson Log periodogram regression of time series with long range dependence Annals of Statistics 23 1995 1048-1072
    • (1995) Annals of Statistics , vol.23 , pp. 1048-1072
    • Robinson, P.M.1
  • 8
    • 84977730667 scopus 로고
    • Is the real interest rate stable?
    • A.K. Rose Is the real interest rate stable? Journal of Finance 43 1988 1095-1112
    • (1988) Journal of Finance , vol.43 , pp. 1095-1112
    • Rose, A.K.1
  • 9
    • 10244224748 scopus 로고    scopus 로고
    • Exact local Whittle estimation of fractional integration
    • discussion paper, Cowles Foundation, Yale University
    • Shimotsu, K., Phillips, P.C.B. 2003, Exact local Whittle estimation of fractional integration, discussion paper, Cowles Foundation, Yale University
    • (2003)
    • Shimotsu, K.1    Phillips, P.C.B.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.