Long memory processes and fractional integration in econometrics
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- 1
I am greatly indebted to the editor, Max King, and to three anonymous referees for their very helpful comments on an earlier version of this paper. I also wish to acknowledge several useful discussions with Clive Granger and particularly helpful comments from Tim Bollerslev, Ching-Fan Chung, David Dickey, Frank Diebold, Hans-Ole Mikkelsen, Franz Palm, Peter Robinson, John Rogers, Philip Rothman, Peter Schmidt, and Casper de Vries. This article has also benefited from comments made by seminar participants at Duke University, Federal Reserve Bank of St. Louis, University of California-San Diego, University of California-Santa Barbara, University of California-Riverside, University of Southern California, and University of Washington.
Copyright © 1996 Published by Elsevier B.V.