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    CSDA
    2007
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    Estimation of fractional integration in the presence of data noise
    13 years 11 months ago
    Estimation of fractional integration in the presence of data noise
    Download  mit.econ.au.dk
    The paper presents a comparative study on the performance of commonly used estimators of the fractional order of integration when data is contaminated by noise. In particular, meas...
    Niels Haldrup, Morten Ørregaard Nielsen
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