Local Whittle estimation of fractional integration for nonlinear processes

DOI10.1017/S0266466607070387MaRDI QIDQ2886971zbMATH OpenFDO

Authors Wei Biao Wu, Xiaofeng Shao

Publication date 14 May 2012

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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• Local Whittle estimation of fractional integration and some of its variants
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• Exact local Whittle estimation of fractionally cointegrated systems
• Nonhomogeneous fractional integration and multifractional processes
• Estimation of fractional integration in the presence of data noise

Cites work

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• Estimating Long Memory in Volatility
• Exact local Whittle estimation of fractional integration
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Generalized autoregressive conditional heteroscedasticity
• Limit theorems for iterated random functions
• Local Whittle estimation in nonstationary and unit root cases.
• Local Whittle estimation of fractional integration and some of its variants
• Non-stationary log-periodogram regression
• Nonlinear system theory: Another look at dependence
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• Robust automatic bandwidth for long memory
• Stationarity and the existence of moments of a family of GARCH processes.
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• The distance between rival nonstationary fractional processes
• Weak convergence of multivariate fractional processes

Cited in

(25)

• A self-normalized semi-parametric test to detect changes in the long memory parameter
• LLN for quadratic forms of long memory time series and its applications in random matrix theory
• Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• Local Whittle estimation of fractional integration and some of its variants
• A bootstrap approximation for the distribution of the local Whittle estimator
• Nonstationarity-extended Whittle estimation
• Strong invariance principles for dependent random variables
• Change-point analysis of time series with evolutionary spectra
• The effect of round-off error on long memory processes
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• Asymptotic spectral theory for nonlinear time series
• A simple test of changes in mean in the possible presence of long-range dependence
• On asymptotic distributions of weighted sums of periodograms
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
• Adaptive Inference for Change Points in High-Dimensional Data
• Issues in the estimation of mis-specified models of fractionally integrated processes
• Efficient tapered local Whittle estimation of multivariate fractional processes
• Whittle-type estimation under long memory and nonstationarity
• Nonstationarity-extended local Whittle estimation
• Fractionally integrated curve time series with cointegration
• Memory properties of transformations of linear processes
• Exact local Whittle estimation in long memory time series with multiple poles
• Exact local Whittle estimation of fractionally cointegrated systems
• Inference for change points in high-dimensional data via selfnormalization

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