Bias Correction of Persistence Measures in Fractionally Integrated Models
Year of publication: |
2013
|
---|---|
Authors: | Grose, Simone D. ; Martin, Gael M. ; Poskitt, Donald S. |
Institutions: | Department of Econometrics and Business Statistics, Monash Business School |
Subject: | and phrases:Long memory | ARFIMA | sieve bootstrap | bootstrap-based bias correction | sample autocorrelation function | impulse response function |
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