Nonstationarity-extended local Whittle estimation
DOI10.1016/j.jeconom.2007.01.020zbMath1418.62297OpenAlexW3121966990WikidataQ105583665 ScholiaQ105583665MaRDI QIDQ289222
Walter Distaso, Liudas Giraitis, Karim M. Abadir
Publication date: 27 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.01.020
nonlinear processesfractional integrationfully extended local Whittle (FELW) estimatormemory parameter
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)
Related Items (48)
Cites Work
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