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The Stata Journal
Volume 20 Number 3: pp. 565-583

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Local Whittle estimation of the long-memory parameter

Christopher F. Baum
Department of Economics
Boston College
Chestnut Hill, MA
[email protected]
 Stan Hurn
School of Economics and Finance
Queensland University of Technology
Brisbane, Australia
[email protected]
Kenneth Lindsay
Department of Mathematics
University of Glasgow
Glasgow, UK
[email protected]
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