Distribution theory for the Studentized mean for long, short, and negative memory time series
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Publication:2448410
DOI10.1016/j.jeconom.2013.06.002zbMath1285.62108OpenAlexW2115177418MaRDI QIDQ2448410
Tucker S. McElroy, Dimitris N. Politis
Publication date: 30 April 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.06.002
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Economic time series analysis (91B84)
Related Items (8)
A unified approach to self-normalized block sampling ⋮ Some remarks on definitions of memory for stationary random processes and fields ⋮ Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes ⋮ Estimating the Spectral Density at Frequencies Near Zero ⋮ Distribution theory for the Studentized mean for long, short, and negative memory time series ⋮ Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series ⋮ Fixed Bandwidth Inference for Fractional Cointegration ⋮ A note on linear processes with tapered innovations
Uses Software
Cites Work
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