New methods for the analysis of long memory time series: application to Spanish inflation

Peter M. Robinson
Authors registered in the RePEc Author Service: Miguel A. Delgado ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Models for long-memory time series are considered, in which the autocovariance sequence is only parameterized at very long lags, or the spectral density is only parametized at very low frequencies. Various recently proposed methods for estimating the differencing parameters are reviewed, and applied to an economic time series of prices in Spain.

Keywords: Differencing; parameters; Semiparametric; estimation; Autocovariance; Averaged; periodogram; regression; Inflation; rate; Long; memory (search for similar items in EconPapers)
Date: 1993-02
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:3676

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