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Pooled Log Periodogram Regression. (2000). Shimotsu, Katsumi ; Phillips, Peter.
In: Cowles Foundation Discussion Papers.
RePEc:cwl:cwldpp:1267.

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Cited: 7

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Cites: 8

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Cocites: 50

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  1. Long Memory in US Real Output per Capita. (2009). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2671.

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  2. Comovements in Volatility in the Euro Money Market. (2007). MORANA, CLAUDIO ; Cassola, Nuno.
    In: ICER Working Papers.
    RePEc:icr:wpicer:7-2007.

    Full description at Econpapers || Download paper

  3. Multivariate modelling of long memory processes with common components. (2006). MORANA, CLAUDIO.
    In: ICER Working Papers.
    RePEc:icr:wpicer:40-2006.

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  4. Long Memory on the German Stock Exchange. (2006). Wójtowicz, Tomasz ; Gurgul, Henryk ; WJTOWICZ, Tomasz.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:56:y:2006:i:9-10:p:447-468.

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  5. Comovements in volatility in the euro money market. (2006). MORANA, CLAUDIO ; Cassola, Nuno.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006703.

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  6. Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes. (2002). Sun, Yixiao ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1366.

    Full description at Econpapers || Download paper

  7. Unit Root Log Periodogram Regression. (1999). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1244.

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References

References cited by this document

  1. [11 Davies, R. B., and D. S. Harte (1987) Tests for Hurst Effect. Biometrika 74: 95- 101.
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  2. [21 Geweke, J., and S. Porter-Hudak (1983). The Estimation and Application of Long Memory Time Series Models. Journal of Time Series Analysis 4: 221-38.
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  3. [31 Gradshteyn, I. S., and I. M. Ryzhik (1965). Tables of Integrals, Series and Products. New York, Academic Press.
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  4. [41 Hurvich, C. M., and K. I. Beltrao (1994). Automatic Semiparametric Estimation of the Memory Parameter of a Long-Memory Time Series. Journal of Time Series Analysis 15: 285-302.
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  5. [51 Hurvich, C. M., R. Deo, and J. Brodsky (1998). The Mean Squared Error of Geweke and Porter-Hudaks Estimator of the Memory Parameter of a LongMemory Time Series. Journal of Time Series Analysis 19: 19-46.

  6. [61 Künsh, H. (1986). Discrimination between Monotonic Trends and Long-Range Dependence. Journal of Applied Probability 23: 1025-30.
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  7. [71 Robinson, P. M. (1995). Log-Periodogram Regression of Time Series with Long Range Dependence. Annals of Statistics 23: 1048-72.
    Paper not yet in RePEc: Add citation now
  8. [81 Zygmund, A. (1959). Trigonometric Series. Cambridge, Cambridge University Press. 44 8 Monte Carlo simulation results
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