Description Usage Arguments Details Author(s) References Examples
Hou.Perron
Modified semiparametric local Whittle estimator of Hou and Perron (2014).
Estimates memory parameter robust to low frequency contaminations.
1 | Hou.Perron(data, m)
|
data |
data vector of length T. |
m |
bandwith parameter specifying the number of Fourier frequencies
used for the estimation usually |
add details here
Christian Hendrik Leschinski
Hou, J., Perron, P. (2014): Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. Journal of Econometrics, Vol. 182, No. 2, pp. 309 - 328.
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