Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes

DOI10.1016/j.econlet.2016.10.014zbMath1400.62179OpenAlexW2536965922MaRDI QIDQ1672748

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)

Related Items

Fixed Bandwidth Inference for Fractional Cointegration

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