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New methods for the analysis of long-memory time-series: Application to Spanish inflation

✍ Scribed by Miguel A. Delgado; Peter M. Robinson

Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
508 KB
Volume
13
Category
Article
ISSN
0277-6693

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✦ Synopsis

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 applied to an economic time series of prices in Spain.

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