Saddlepoint approximations for short and long memory time series: a frequency domain approach
DOI10.1016/J.JECONOM.2018.10.009zbMATH Open1456.62201OpenAlexW2969750319MaRDI QIDQ2280588FDOQ2280588
Authors: Davide La Vecchia, Elvezio Ronchetti 
Publication date: 19 December 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.10.009
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (5)
- Saddlepoint Approximations for Spatial Panel Data Models
- Saddlepoint approximation methods for testing of serial correlation in panel time series data
- Saddlepoint approximations for the estimator on a lagged dependent variable
- On some connections between Esscher's tilting, saddlepoint approximations, and optimal transportation: a statistical perspective
- A saddlepoint approximation to the distribution of the half-life estimator in a stationary autoregressive model
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