Pages that link to "Item:Q2583422"
From MaRDI portal
The following pages link to Exact local Whittle estimation of fractional integration (Q2583422):
Displaying 50 items.
- Gaussian semiparametric estimation of multivariate fractionally integrated processes (Q145474) (← links)
- Unit root log periodogram regression (Q277158) (← links)
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (Q289172) (← links)
- Nonstationarity-extended local Whittle estimation (Q289222) (← links)
- Diagnostic testing for cointegration (Q291113) (← links)
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (Q292039) (← links)
- Change-point detection for long-range dependent sequences in a general setting (Q425833) (← links)
- Gaussian pseudo-maximum likelihood estimation of fractional time series models (Q449990) (← links)
- Recent advances in nonstationary time series: a festschrift in honor of Peter C.B. Phillips (Q527986) (← links)
- Cointegrating rank selection in models with time-varying variance (Q527990) (← links)
- Exact local Whittle estimation of fractionally cointegrated systems (Q528005) (← links)
- Semiparametric inference in multivariate fractionally cointegrated systems (Q736545) (← links)
- Likelihood based testing for no fractional cointegration (Q736557) (← links)
- Estimation of fractional integration under temporal aggregation (Q737901) (← links)
- An I(\(d\)) model with trend and cycles (Q737963) (← links)
- The effect of round-off error on long memory processes (Q905390) (← links)
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\) (Q928150) (← links)
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series (Q939668) (← links)
- Multiple local Whittle estimation in stationary systems (Q955151) (← links)
- Efficiency in estimation of memory (Q993829) (← links)
- Multivariate modelling of long memory processes with common components (Q1020895) (← links)
- Nonlinear log-periodogram regression for perturbed fractional processes (Q1398966) (← links)
- Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models (Q1620525) (← links)
- Modified information criteria and selection of long memory time series models (Q1623513) (← links)
- When long memory meets the Kalman filter: a comparative study (Q1623533) (← links)
- Perpetual learning and apparent long memory (Q1657333) (← links)
- A bootstrap approximation for the distribution of the local Whittle estimator (Q1659154) (← links)
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics (Q1695674) (← links)
- A generalized ARFIMA model with smooth transition fractional integration parameter (Q1695690) (← links)
- Model checks for nonlinear cointegrating regression (Q1739588) (← links)
- Long memory interdependency and inefficiency in bitcoin markets (Q1787569) (← links)
- Local Whittle estimation in nonstationary and unit root cases. (Q1879948) (← links)
- Estimating memory parameter in the US inflation rate (Q1927805) (← links)
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes (Q2039810) (← links)
- Consumption, aggregate wealth and expected stock returns: an FCVAR approach (Q2046049) (← links)
- A comparison of semiparametric tests for fractional cointegration (Q2065321) (← links)
- Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory (Q2068436) (← links)
- Nonparametric inference for quantile cointegrations with stationary covariates (Q2172016) (← links)
- Cointegrated dynamics for a generalized long memory process: application to interest rates (Q2196655) (← links)
- Whittle-type estimation under long memory and nonstationarity (Q2218620) (← links)
- Not all estimators are born equal: the empirical properties of some estimators of long memory (Q2227406) (← links)
- Efficient tapered local Whittle estimation of multivariate fractional processes (Q2242857) (← links)
- A comparison of Hurst exponent estimators in long-range dependent curve time series (Q2246897) (← links)
- Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany (Q2288947) (← links)
- Learning can generate long memory (Q2294508) (← links)
- Nonstationarity-extended Whittle estimation with discontinuity: a correction (Q2295364) (← links)
- Long memory, fractional integration, and cross-sectional aggregation (Q2397718) (← links)
- Optimal estimation of cointegrated systems with irrelevant instruments (Q2511780) (← links)
- Estimators of long-memory: Fourier versus wavelets (Q2628842) (← links)
- A Wald test for the cointegration rank in nonstationary fractional systems (Q2628844) (← links)
