Weak identification of long memory with implications for inference

Weak identification of long memory with implications for inference

This paper explores weak identification issues arising in commonly used models of economic and financial time series. Two highly popular configurations are shown to be asymptotically observationally equivalent: one with long memory and weak autoregressive dynamics, the other with antipersistent shoc...

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Bibliographic Details
Main Authors: LI, Jia, PHILLIPS, Peter C. B., SHI, Shuping, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Realized volatility
Weak identification
Disjoint confidence sets
Trading volume
Long memory
Econometrics
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/2616
https://ink.library.smu.edu.sg/context/soe_research/article/3615/viewcontent/WeakIDFAR.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2616
https://ink.library.smu.edu.sg/context/soe_research/article/3615/viewcontent/WeakIDFAR.pdf

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