A semiparametric two-step estimator in a multivariate long memory model

DOI10.1016/s0304-4076(98)00038-4zbMath1070.62504MaRDI QIDQ145472

Ignacio N. Lobato, Ignacio N. Lobato

Publication date: May 1999

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

zbMATH Keywords

Gaussian estimationSemiparametric estimationLong memory series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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