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AN EFFICIENT TAPER FOR POTENTIALLY OVERDIFFERENCED LONG-MEMORY TIME SERIES

Hurvich, Clifford M. et al.
NYU Faculty Digital Archive · Papers
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We propose a new complex-valued taper and derive the properties of a tapered Gaussian semiparametric estimator of the long-memory parameter d є (-0.5, 1.5). The estimator and its accompanying theory can be applied to generalized unit root testing. In the proposed method, the data are differ
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