Indirect estimation of ARFIMA and VARFIMA models

A-Tier

Journal: Journal of Econometrics

Year: 1999

Volume: 93

Issue: 1

Pages: 149-175

Authors (2)

Martin, Vance L. (University of Melbourne) Wilkins, Nigel P. (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count