Nadarajah, K.; Martin, Gael M.; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2014
all four estimators converge to the same pseudo-true value and provide an analytical representation of their (common … estimators when used to fit mis-specified models. In particular we demonstrate that when the difference between the true and … pseudo-true values of the long memory parameter is sufficiently large, a clear distinction between the frequency domain and …