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.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Bibliography
Adenstedt, R. 1974. On large-sample estimation for the mean of a stationary random sequence. Annals of Statistics 2: 1095–1107.
Arteche, J., and P. Robinson. 2000. Semiparametric inference in seasonal and cyclic long memory processes. Journal of Time Series Analysis 21: 1–25.
Fox, R., and M.S. Taqqu. 1986. Large sample properties of parameter estimates of strongly dependent stationary Gaussian time series. Annals of Statistics 14: 517–532.
Geweke, J., and S. Porter-Hudak. 1983. The estimation and application of long memory time series models. Journal of Time Series Analysis 4: 221–238.
Giraitis, L., J. Hidalgo, and P. Robinson. 2001. Gaussian estimation of parametric spectral density with unknown pole. Annals of Statistics 29: 987–1023.
Granger, C. 1966. The typical spectral shape of an economic variable. Econometrica 34: 150–167.
Granger, C., and R. Joyeux. 1980. An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis 1: 15–39.
Hualde, J., and P. Robinson. 2004. Semiparametric estimation of fractional cointegration. Mimeo: London School of Economics.
Hurvich, C., E. Moulines, and P. Soulier. 2005. Estimating long memory in volatility. Econometrica 73: 1283–1328.
Künsch, H. 1987. Statistical aspects of self-similar processes. In Proceedings of the First World Congress of the Bernoulli Society, vol. 1, ed. Y. Prohorov and V. Sazonov. Utrecht: VNU Science Press.
Mandelbrot, D. 1972. Statistical methodology for non-periodic cycles: From the covariance to R/S analysis. Annals of Economic and Social Measurement 1: 259–290.
Robinson, P. 1994. Efficient tests of nonstationary hypotheses. Journal of the American Statistical Association 89: 1420–1437.
Robinson, P. 1995a. Log-periodogram regression of time series with long range dependence. Annals of Statistics 23: 1048–1072.
Robinson, P. 1995b. Gaussian semiparametric estimation of long range dependence. Annals of Statistics 5: 1630–1661.
Robinson, P. 2001. The memory of stochastic volatility models. Journal of Econometrics 101: 192–218.
Author information
Authors and Affiliations
Editor information
Copyright information
© 2018 Macmillan Publishers Ltd.
About this entry
Cite this entry
Robinson, P.M. (2018). Long Memory Models. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_1937
Download citation
DOI: https://doi.org/10.1057/978-1-349-95189-5_1937
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-95188-8
Online ISBN: 978-1-349-95189-5
eBook Packages: Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences