Expansions for approximate maximum likelihood estimators of the fractional difference parameter

DOI10.1111/J.1368-423X.2005.00169.XMaRDI QIDQ3367409zbMATH OpenFDO

Authors Offer Lieberman, Peter C. B. Phillips

Publication date 24 January 2006

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2005.00169.X

zbMATH Keywords

ARFIMABootstrapEdgeworth expansionfractional differencingpivotal statistic

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic theory of statistical inference for time series
• Edgeworth expansions for semiparametric Whittle estimation of long memory.
• Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
• EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
• Long memory processes and fractional integration in econometrics
• On large-sample estimation for the mean of a stationary random sequence
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
• VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES

Cited in

(5)

• Refined Inference on Long Memory in Realized Volatility
• EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
• ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS
• Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra
• The modified conditional sum-of-squares estimator for fractionally integrated models

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