The DOI matches its Crossref record.
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
Abstract
Abstract. The definitions of fractional Gaussian noise and integrated (or fractionally differenced) series are generalized, and it is shown that the two concepts are equivalent. A new estimator of the long memory parameter in these models is proposed, based on the simple linear regression of the log periodogram on a deterministic regressor. The estimator is the ordinary least squares estimator of the slope parameter in this regression, formed using only the lowest frequency ordinates of the log periodogram. Its asymptotic distribution is derived, from which it is evident that the conventional interpretation of these least squares statistics is justified in large samples. Using synthetic data the asymptotic theory proves to be reliable in samples of 50 observations or more. For three postwar monthly economic time series, the estimated integrated series model provides more reliable out‐of‐sample forecasts than do more conventional procedures.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cited by
Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
Antweiler, W., & Frank, M. Z. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00662.x · Cited by 2,373
The Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
The evolution of stock market efficiency over time: A survey of the empirical literature
Lim, K.-P., & Brooks, R. (2011) · Journal of Economic Surveys · doi:10.1111/j.1467-6419.2009.00611.x · Cited by 410
Informational efficiency of Bitcoin—an extension
Tiwari, A. K., Jana, R. K., Das, D., & Roubaud, D. (2018) · Economics Letters · doi:10.1016/j.econlet.2017.12.006 · Cited by 365
Determination of cointegrating rank in fractional systems
Robinson, P. M., & Yajima, Y. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00096-3 · Cited by 236
Metadata
- Authors
- Geweke, J., & Porter‐Hudak, S.
- Venue
- Journal of Time Series Analysis
- Publisher
- Wiley
- Published
- 1983-07
- Volume
- 4
- Issue
- 4
- Pages
- 221-238
- ISSN
- 0143-9782 (ISSN-L)
- 1467-9892
- OpenAlex
- W1973694910
- Cited by
- 2,931
- References
- 0
- FWCI
- 18.18
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS. https://app.cochat.ai/papers/10.1111/j.1467-9892.1983.tb00371.x
- The paper
- Geweke, J., & Porter‐Hudak, S. (1983). THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS. Journal of Time Series Analysis. https://doi.org/10.1111/j.1467-9892.1983.tb00371.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
