The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
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Publication:1922364
DOI10.1016/0304-4076(95)01738-0zbMath0854.62085MaRDI QIDQ1922364
Publication date: 14 January 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01738-0
singularities; spectrum; large-sample theory; unified approach; quasi-likelihood ratio test; fractional ARIMA; bracketing function approach; multiple long-memory time-series; quasi-maximum-likelihood estimation
62F12: Asymptotic properties of parametric estimators
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F05: Asymptotic properties of parametric tests
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