Adaptive Semiparametric Estimation of the Memory Parameter - (Now published with revised title, Adaptive Rate-Optimal Estimation of the Memory Parameter, in Journal of Multivariate Analysis, 72 (2000), pp.183-207.)

Liudas Giraitis, Peter M. Robinson and Alexander Samarov

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Keywords: Long-range dpendence; semiparametric model; rates of convergence; adaptive bandwidth selection. (search for similar items in EconPapers)
Date: 2000-01
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