multiwave

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).