Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes

DOI10.1016/J.ECONLET.2016.10.014MaRDI QIDQ1672748zbMATH OpenOpenAlexFDO

Authors Javier Hualde, Fabrizio Iacone

Publication date 11 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/2454/38383

zbMATH Keywords

fractional integrationlong run variance estimationlarge-\(m\) and fixed-\(m\) asymptotic theorymemory autocorrelation consistent (MAC) estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• Distribution theory for the Studentized mean for long, short, and negative memory time series
• Fixed bandwidth inference for fractional cointegration
• Two estimators of the long-run variance: beyond short memory
• Semiparametric inference and bandwidth choice under long memory: experimental evidence

Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A heteroskedasticity and autocorrelation robust \(F\) test using an orthonormal series variance estimator
• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Asymptotic theory for certain regression models with long memory errors
• Distribution theory for the Studentized mean for long, short, and negative memory time series
• Estimating fractional cointegration in the presence of polynomial trends
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• Fractional Brownian Motions, Fractional Noises and Applications
• Gaussian semiparametric estimation of long range dependence
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• Two estimators of the long-run variance: beyond short memory

Cited in

(2)

• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• Fixed bandwidth inference for fractional cointegration

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