Small sample properties of frequency domain estimators for the fractional model

Publisher:
Marcel Dekker Inc
Publication Type:
Journal Article
Citation:
Communications In Statistics-Simulation And Computation, 2005, 34 (1), pp. 57 - 72
Issue Date:
2005-01
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This article proposes a number of frequency domain estimation procedures for the ARFIMA model based on a spectral generalized method of moments, (SGMM) estimator. It is shown that the SGMM estimator includes as special cases; the GPH regression estimator
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