multiwave
Estimation of Multivariate Long-Memory Models Parameters
v2.0
·
Mar 30, 2026
·
GPL (>= 2)
Description
Computation of an estimation of the long-memory parameters and the long-run covariance matrix using a multivariate model (Lobato (1999) <doi:10.1016/S0304-4076(98)00038-4>; Shimotsu (2007) <doi:10.1016/j.jeconom.2006.01.003>). Two semi-parametric methods are implemented: a Fourier based approach (Shimotsu (2007) <doi:10.1016/j.jeconom.2006.01.003>) and a wavelet based approach (Achard and Gannaz (2016) <doi:10.1111/jtsa.12170>; Achard and Gannaz (2024) <doi:10.1111/jtsa.12719>). Real and complex wavelets are implemented.
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| r-release-windows-x86_64 | OK |