Wavelet estimation of time series regression with long memory processes

Economics Bulletin

Volumn 3, Issue 1, 2006, Pages

  Wu, Haibin ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79959790960     PISSN: None     EISSN: 15452921     Source Type: Journal    
DOI: None     Document Type: Article

References (7)

1. Beran, J. (1994). Statistics for Long Memory Processes, Chapman & Hall
2. Fan, Yanqin (2003). "On the Approximate De-correlation Property of the Discrete Wavelet Transform for Fractionally Differenced Processes", IEEE Transactions on Information Theory 49, 516-521
3. Fan, Yanqin and Brandon Whitcher (2001) "A Wavelet Solution to the Spurious Regression of Fractionally Integrated Processes", working paper, Department of Economics, Vanderbilt University
4. Percival, D.B. and A.T. Walden (2000). Wavelet Methods for Time Series Analysis, Cambridge Series in Statistical and Probabilistic mathematics, Cambridge University Press
5. Robinson, P.M. and F.J. Hidalgo (1997) "Time Series Regression with Long Range Dependence", The Annals of Statistics, 25(1), 77-104
6. Taniguchi, Masanobu and Yoshihide Kakizawa (2000) Asymptotic Theory of Statistical Inference for Time Series, Springer Series in Statisitcs
7. Tasy, Wen-Jen and Ching-Fan Chung (2000) "The Spurious Regression of Fractionally Integrated Processes", Journal of Econometrics, (96), 155-182