NEW METHODS FOR THE ANALYSIS OF LONG-MEMORY TIME-SERIES - APPLICATION TO SPANISH INFLATION

被引：30

作者：

DELGADO, MA ^{[1
]}

ROBINSON, PM ^{[1
]}

机构：

[1] UNIV LONDON LONDON SCH ECON & POLIT SCI,DEPT ECON,HOUGHTON ST,LONDON WC2A 2AE,ENGLAND

来源：

JOURNAL OF FORECASTING | 1994年 / 13卷 / 02期

关键词：

LONG-MEMORY; DIFFERENCING PARAMETERS; SEMIPARAMETRIC ESTIMATION; AUTOCOVARIANCE; AVERAGED PERIODOGRAM; LOG-PERIODOGRAM REGRESSION; INFLATION RATE;

D O I：

10.1002/for.3980130205

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：97 / 107

页数：11

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