Estimation of mis-specified long memory models

DOI10.1016/J.JECONOM.2005.06.024MaRDI QIDQ278055zbMATH OpenOpenAlexFDO

Authors Willa W. Chen, Rohit Deo

Publication date 2 May 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/22177

zbMATH Keywords

long memoryfrequency domain MLEmodel mis-specification

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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• Maximum Likelihood Estimation of Misspecified Models
• On estimation of parameters of Gaussian stationary processes
• Pseudo Maximum Likelihood Methods: Applications to Poisson Models
• Pseudo Maximum Likelihood Methods: Theory
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• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

Cited in

(11)

• Efficiency in estimation of memory
• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• Efficient method of moments estimators for integer time series models
• Modified information criteria and selection of long memory time series models
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS
• Out-of-sample forecast errors in misspecific perturbed long memory processes.
• Misspecification tests for periodic long memory GARCH models
• Issues in the estimation of mis-specified models of fractionally integrated processes
• A threshold mixed count time series model: estimation and application
• The estimation of misspecified long memory models

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