Estimating a generalized long memory process

DOI10.1016/0304-4076(95)01739-9zbMath0854.62083OpenAlexW2062053579MaRDI QIDQ1922365

Ching-Fan Chung

Publication date: 19 January 1997

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

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01739-9

zbMATH Keywords

fractionally integrated processGegenbauer processconditional sum of squares estimationCSS estimationfunctional of Brownian motionstwo-parameter long memory processunit-root limiting distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ON GENERALIZED FRACTIONAL PROCESSES
• Time Series Regression with a Unit Root
• A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE

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