Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
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Publication:2477005
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Cites work
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- scientific article; zbMATH DE number 847282 (Why is no real title available?)
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- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- An Asymptotic Result for the Finite Predictor.
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Bias of some commonly-used time series estimates
- Estimating the dimension of a model
- Fitting autoregressive models for prediction
- Fractional differencing
- Long memory processes and fractional integration in econometrics
- Loss of spectral peaks in autoregressive spectral estimation
- ON GENERALIZED FRACTIONAL PROCESSES
- On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
- Some Comments on C P
- Some recent advances in time series modeling
- Statistical predictor identification
- Tests for Hurst effect
- The Fitting of Time-Series Models
Cited in
(26)- Semiparametric sieve-type generalized least squares inference
- Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes
- Real-time monitoring test for realized volatility
- On the asymptotic behavior of a finite section of the optimal causal filter
- Banded regularization of autocovariance matrices in application to parameter estimation and forecasting of time series
- Bias Correction of Persistence Measures in Fractionally Integrated Models
- Persistence-robust surplus-lag Granger causality testing
- Autoregressive spectral estimates under ignored changes in the mean
- Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
- Bootstrap-assisted tests of symmetry for dependent data
- Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
- Modified information criteria and selection of long memory time series models
- Autoregressive approximations to nonstationary time series with inference and applications
- Inference for impulse response coefficients from multivariate fractionally integrated processes
- Market integration, systemic risk and diagnostic tests in large mixed panels
- Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
- Higher-order improvements of the sieve bootstrap for fractionally integrated processes
- Normality tests for dependent data: large-sample and bootstrap approaches
- (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
- Impulse responses of antipersistent processes
- Impulse responses of fractionally integrated processes with long memory
- (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
- Infinite-order, long-memory heterogeneous autoregressive models
- Forecasting a long memory process subject to structural breaks
- Nonlinear models for strongly dependent processes with financial applications
- Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
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