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A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests

✍ Scribed by Liu, Wei; Maynard, Alex S

Book ID
121687286
Publisher
The Berkeley Electronic Press,Walter de Gruyter GmbH & Co. KG
Year
2007
Tongue
English
Weight
675 KB
Volume
11
Category
Article
ISSN
1081-1826

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Models for long-memory time series are considered in which the autocovariance sequence is parameterized only at very long lags or the spectral density is parameterized only at very low frequencies. Various recently proposed methods for estimating the differencing parameters are reviewed and are appl