Pages that link to "Item:Q736555"
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The following pages link to Likelihood inference for a nonstationary fractional autoregressive model (Q736555):
Displayed 16 items.
- Consumption, aggregate wealth and expected stock returns: an FCVAR approach (Q2046049) (← links)
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend (Q2137818) (← links)
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form (Q2294518) (← links)
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (Q2347732) (← links)
- (Q2971501) (← links)
- THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS (Q2976205) (← links)
- DETECTION OF NONCONSTANT LONG MEMORY PARAMETER (Q4979323) (← links)
- TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS (Q5118577) (← links)
- Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models (Q5177969) (← links)
- TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT (Q5205274) (← links)
- ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS (Q5221308) (← links)
- A Generalised Fractional Differencing Bootstrap for Long Memory Processes (Q5226143) (← links)
- Nonstationary Cointegration in the Fractionally Cointegrated VAR Model (Q5226145) (← links)
- ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY (Q5349015) (← links)
- A general inversion theorem for cointegration (Q5860964) (← links)
- Investigating volatility transmission across international equity markets using multivariate fractional models (Q6056274) (← links)