The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Long Memory Models

  • P. M. Robinson
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_1937

Abstract

Time series exhibiting varying forms of strong dependence are considered. Stationary parametric and semiparametric models, and their estimation, are first discussed. We go on to review nonlinear, nonstationary and multivariate models.

Keywords

ARMA processes Cointegration Fourier frequencies Fractional autoregressive integrated moving average (FARIMA) Fractional noise Generalized method of moments (GMM) Long memory models Maximum likelihood Multivariate models Nonlinear models Nonstationary models Semiparametric estimation Statistical inference Time series analysis Whittle estimates 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • P. M. Robinson
    • 1
  1. 1.