An Overview of Modified Semiparametric Memory Estimation Methods

An Overview of Modified Semiparametric Memory Estimation Methods

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being contami...

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Bibliographic Details
Main Authors: Marie Busch, Philipp Sibbertsen
Format: Article
Language:English
Published: MDPI AG 2018-03-01
Series:Econometrics
Subjects:
spurious long memory
semiparametric estimation
low frequency contamination
perturbation
Monte Carlo simulation
Online Access:http://www.mdpi.com/2225-1146/6/1/13

Internet

http://www.mdpi.com/2225-1146/6/1/13

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