Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases

DOI10.1007/S10463-006-0074-4zbMATH Open1133.62352OpenAlexW2051295933MaRDI QIDQ2477005FDOQ2477005

Authors: D. S. Poskitt 

Publication date: 12 March 2008

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0074-4

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zbMATH Keywords

AutoregressionAsymptotic efficiencyOrder selectionFractional processNon-invertibility

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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Cited In (26)

• Inference for impulse response coefficients from multivariate fractionally integrated processes
• Impulse responses of antipersistent processes
• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• Market integration, systemic risk and diagnostic tests in large mixed panels
• Modified information criteria and selection of long memory time series models
• BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP
• On the asymptotic behavior of a finite section of the optimal causal filter
• (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
• Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes
• Nonlinear models for strongly dependent processes with financial applications
• Impulse responses of fractionally integrated processes with long memory
• Semiparametric Sieve-Type Generalized Least Squares Inference
• Normality tests for dependent data: large-sample and bootstrap approaches
• Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
• Infinite-order, long-memory heterogeneous autoregressive models
• Forecasting a long memory process subject to structural breaks
• Higher-order improvements of the sieve bootstrap for fractionally integrated processes
• (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
• Persistence-robust surplus-lag Granger causality testing
• Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
• Autoregressive approximations to nonstationary time series with inference and applications
• Real-time monitoring test for realized volatility
• Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series
• Bias Correction of Persistence Measures in Fractionally Integrated Models
• Autoregressive spectral estimates under ignored changes in the mean
• Bootstrap-assisted tests of symmetry for dependent data

Uses Software

• KernSmooth

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