Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
DOI10.1016/J.JECONOM.2017.01.008zbMATH Open1456.62182OpenAlexW2146521696MaRDI QIDQ2294518FDOQ2294518
A. M. Robert Taylor, Morten Ørregaard Nielsen, Giuseppe Cavaliere
Publication date: 11 February 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://repository.essex.ac.uk/18883/1/Fractional-QMLE-BS-2017-Rev3-v2.pdf
quasi-maximum likelihood estimationwild bootstrapfractional integrationconditional sum-of-squaresconditional/unconditional heteroskedasticity
Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
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Cited In (10)
- Testing for explosive bubbles: a review
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Issues in the estimation of mis-specified models of fractionally integrated processes
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
- Asymptotic theory for time series with changing mean and variance
- A Generalised Fractional Differencing Bootstrap for Long Memory Processes
- Robust inference on correlation under general heterogeneity
- Reprint of: Robust inference on correlation under general heterogeneity
- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
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