Nonstationarity-extended local Whittle estimation
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Publication:289222
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)
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