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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| 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 |