EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (Q3557550): Difference between revisions

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+MaRDI publication profile
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+Gaussian Semiparametric Estimation of Non-stationary Time Series
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+Exact local Whittle estimation of fractional integration
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+ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE
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+The distance between rival nonstationary fractional processes
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+Gaussian semiparametric estimation of long range dependence
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+Alternative forms of fractional Brownian motion
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+A semiparametric two-step estimator in a multivariate long memory model
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+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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+Testing of unit root and other nonstationary hypotheses in macroeconomic time series
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+Rate of convergence of one- and two-step M-estimators with applications to maximum likelihood and Pitman estimators
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+An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
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+Fractional integration analysis of long-run behavior for US macroeconomic time series
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+On large-sample estimation for the mean of a stationary random sequence
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+Nonstationarity-extended local Whittle estimation
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+Log-periodogram regression of time series with long range dependence
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+Efficient Tests of Nonstationary Hypotheses
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+The Stochastic Difference Between Econometric Statistics
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+Local Whittle estimation in nonstationary and unit root cases.
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+Unit root log periodogram regression
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+Local Whittle estimation of fractional integration and some of its variants
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