Estimation of mis-specified long memory models

DOI10.1016/j.jeconom.2005.06.024zbMath1418.62308OpenAlexW2166488519MaRDI QIDQ278055

Willa W. Chen, Rohit S. Deo

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/22177

zbMATH Keywords

long memorymodel mis-specificationfrequency domain MLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

Related Items (5)

Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ Issues in the estimation of mis-specified models of fractionally integrated processes ⋮ A threshold mixed count time series model: estimation and application ⋮ EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS ⋮ Efficiency in estimation of memory

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