Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes

DOI10.1214/20-AOS1998zbMath1471.62314arXiv1812.07944OpenAlexW3149384605MaRDI QIDQ2039810

James A. Duffy, Ioannis Kasparis

Publication date: 5 July 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.07944

zbMATH Keywords

kernel regressionspecification testingfractional processhalf unit rootmildly integrated processweakly nonstationary process

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: hypothesis testing (62M07)

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CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS ⋮ ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS ⋮ Latent local-to-unity models

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