Non-stationary log-periodogram regression
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Publication:1298461
DOI10.1016/S0304-4076(98)00080-3zbMath1041.62533OpenAlexW2090879268MaRDI QIDQ1298461
Publication date: 1999
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00080-3
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)
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Uses Software
Cites Work
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- On the errors-in-variables problem for time series
- Small sample effects in time series analysis: A new asymptotic theory and a new estimate
- Rates of convergence and optimal spectral bandwidth for long range dependence
- Log-periodogram regression of time series with long range dependence
- Spectral Analysis for Physical Applications
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- On the Efficiency of Spectral Density Estimates of a Stationary Process. II
- Trends versus Random Walks in Time Series Analysis
- On the Efficiency of Spectral Density Estimates of a Stationary Process
- Efficient Tests of Nonstationary Hypotheses
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
- NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
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