Gaussian semiparametric estimation of multivariate fractionally integrated processes (Q145474): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2006.01.003
@@ Property / DOI: 10.1016/j.jeconom.2006.01.003 / rank @@
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@@ Property / publication date @@
+May 2016Timestamp +2016-05-04T00:00:00Z
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++2016-05-04T00:00:00Z
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++00:00
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+Gregorian
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@@ Property / publication date: 4 May 2016 / rank @@
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@@ Property / author @@
+Katsumi Shimotsu
@@ Property / author: Katsumi Shimotsu / rank @@
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@@ Property / title @@
+Gaussian semiparametric estimation of multivariate fractionally integrated processes (English)
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@@ Property / zbMATH Open document ID @@
+.62446
@@ Property / zbMATH Open document ID: 1360.62446 / rank @@
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+http://ageconsearch.umn.edu/record/273538
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@@ Property / Mathematics Subject Classification ID @@
+M09
@@ Property / Mathematics Subject Classification ID: 62M09 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G22
@@ Property / Mathematics Subject Classification ID: 60G22 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M15
@@ Property / Mathematics Subject Classification ID: 62M15 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 62G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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@@ Property / zbMATH DE Number @@
+6577359
@@ Property / zbMATH DE Number: 6577359 / rank @@
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@@ Property / zbMATH Keywords @@
+fractional integration
@@ Property / zbMATH Keywords: fractional integration / rank @@
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@@ Property / zbMATH Keywords @@
+long memory
@@ Property / zbMATH Keywords: long memory / rank @@
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@@ Property / zbMATH Keywords @@
+semiparametric estimation
@@ Property / zbMATH Keywords: semiparametric estimation / rank @@
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+W2151279465
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@@ Property / cites work @@
+Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
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+Q5612941
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+CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
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+A semiparametric two-step estimator in a multivariate long memory model
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+A Nonparametric Test for I(0)
@@ Property / cites work: A Nonparametric Test for I(0) / rank @@
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+Local Whittle estimation in nonstationary and unit root cases.
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+Log-periodogram regression of time series with long range dependence
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@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+Exact local Whittle estimation of fractional integration
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2006.01.003
@@ Property / DOI: 10.1016/J.JECONOM.2006.01.003 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:145474