Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (Q5719301): Difference between revisions

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scientific article; zbMATH DE number 2248231

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English	Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration	scientific article; zbMATH DE number 2248231

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instance of

scholarly article

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title

Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (English)

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author

Morten Ørregaard Nielsen

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18 January 2006

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full work available at URL

https://ageconsearch.umn.edu/record/273666/files/qed_wp_1189.pdf

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zbMATH Keywords

bias

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finite sample distribution

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fractional integration

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maximum likelihood

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Monte Carlo simulation

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parametric estimation

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semiparametric estimation

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wavelets

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describes a project that uses

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MaRDI publication profile

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cites work

The Distribution of Realized Exchange Rate Volatility

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A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter

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VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES

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Adaptive Local Polynomial Whittle Estimation of Long-range Dependence

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Long memory processes and fractional integration in econometrics

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Q4865042

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Efficient parameter estimation for self-similar processes

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Orthonormal bases of compactly supported wavelets

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Long memory and regime switching

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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Testing of unit root and other nonstationary hypotheses in macroeconomic time series

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Edgeworth expansions for semiparametric Whittle estimation of long memory.

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A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

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Long memory relationships and the aggregation of dynamic models

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.

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Fractional differencing

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A limit theory for long-range dependence and statistical inference on related models

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The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

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An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets

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Discrimination between monotonic trends and long-range dependence

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EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

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Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process

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On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity

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Long-Term Memory in Stock Market Prices

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Q4740120

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Alternative forms of fractional Brownian motion

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EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS

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Local Whittle estimation in nonstationary and unit root cases.

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Gaussian semiparametric estimation of long range dependence

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Log-periodogram regression of time series with long range dependence

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Q4682143

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Pooled Log Periodogram Regression

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Exact local Whittle estimation of fractional integration

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THE NONSTATIONARY FRACTIONAL UNIT ROOT

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Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets

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Gaussian Semiparametric Estimation of Non-stationary Time Series

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Non-stationary log-periodogram regression

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NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION

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Q5808925

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Q4107030

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Identifiers

zbMATH Open document ID

1080.62059

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DOI

10.1080/07474930500405790

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5719301

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@@ Property / OpenAlex ID: W2019572758 / rank @@
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
+Normal rank
@@ Property / cites work @@
+VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
+Normal rank
@@ Property / cites work @@
+Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
+Normal rank
@@ Property / cites work @@
+Long memory processes and fractional integration in econometrics
+Normal rank
@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient parameter estimation for self-similar processes
+Normal rank
@@ Property / cites work @@
+Orthonormal bases of compactly supported wavelets
@@ Property / cites work: Orthonormal bases of compactly supported wavelets / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory and regime switching
@@ Property / cites work: Long memory and regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Testing of unit root and other nonstationary hypotheses in macroeconomic time series
+Normal rank
@@ Property / cites work @@
+Edgeworth expansions for semiparametric Whittle estimation of long memory.
+Normal rank
@@ Property / cites work @@
+A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
+Normal rank
@@ Property / cites work @@
+Long memory relationships and the aggregation of dynamic models
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+A limit theory for long-range dependence and statistical inference on related models
+Normal rank
@@ Property / cites work @@
+The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
+Normal rank
@@ Property / cites work @@
+An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
+Normal rank
@@ Property / cites work @@
+Discrimination between monotonic trends and long-range dependence
+Normal rank
@@ Property / cites work @@
+EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
+Normal rank
@@ Property / cites work @@
+Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
+Normal rank
@@ Property / cites work @@
+On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Q4740120
@@ Property / cites work: Q4740120 / rank @@
+Normal rank
@@ Property / cites work @@
+Alternative forms of fractional Brownian motion
@@ Property / cites work: Alternative forms of fractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
+Normal rank
@@ Property / cites work @@
+Local Whittle estimation in nonstationary and unit root cases.
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+Q4682143
@@ Property / cites work: Q4682143 / rank @@
+Normal rank
@@ Property / cites work @@
+Pooled Log Periodogram Regression
@@ Property / cites work: Pooled Log Periodogram Regression / rank @@
+Normal rank
@@ Property / cites work @@
+Exact local Whittle estimation of fractional integration
+Normal rank
@@ Property / cites work @@
+THE NONSTATIONARY FRACTIONAL UNIT ROOT
@@ Property / cites work: THE NONSTATIONARY FRACTIONAL UNIT ROOT / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
+Normal rank
@@ Property / cites work @@
+Gaussian Semiparametric Estimation of Non-stationary Time Series
+Normal rank
@@ Property / cites work @@
+Non-stationary log-periodogram regression
@@ Property / cites work: Non-stationary log-periodogram regression / rank @@
+Normal rank
@@ Property / cites work @@
+NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
@@ Property / cites work: NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION / rank @@
+Normal rank
@@ Property / cites work @@
+Q5808925
@@ Property / cites work: Q5808925 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4107030
@@ Property / cites work: Q4107030 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5719301