Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
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Publication:2294518
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Cites work
- scientific article; zbMATH DE number 1735137 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A Fractional Dickey-Fuller Test for Unit Roots
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
- An exponential model for the spectrum of a scalar time series
- Asymptotics for linear processes
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Bootstrapping unit root tests for integrated processes
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
- Efficient Tests of Nonstationary Hypotheses
- Efficient Wald Tests for Fractional Unit Roots
- Estimation When a Parameter is on a Boundary
- Gaussian pseudo-maximum likelihood estimation of fractional time series models
- Heteroskedastic time series with a unit root
- Heteroskedasticity-robust testing for a fractional unit root
- Inference in Autoregression under Heteroskedasticity
- Inference on the cointegration rank in fractionally integrated processes.
- LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
- LONG MEMORY TESTING IN THE TIME DOMAIN
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Likelihood inference for a nonstationary fractional autoregressive model
- Maximum Likelihood Estimation of Misspecified Models
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- Optimal Fractional Dickey–Fuller tests
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- Testing Statistical Hypotheses
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Testing for structural change in conditional models
- The asymptotic theory of linear time-series models
- Unit Root Tests under Time-Varying Variances
Cited in
(11)- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- Asymptotic theory for time series with changing mean and variance
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
- Issues in the estimation of mis-specified models of fractionally integrated processes
- Robust inference on correlation under general heterogeneity
- Estimating FARIMA models with uncorrelated but non-independent error terms
- A generalised fractional differencing bootstrap for long memory processes
- Testing for explosive bubbles: a review
- Reprint of: Robust inference on correlation under general heterogeneity
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