The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models

DOI10.1017/S0266466615000110zbMATH Open1441.62757OpenAlexW1884631289MaRDI QIDQ2976205FDOQ2976205

Authors: Søren Johansen, Morten Ørregaard Nielsen 

Publication date: 28 April 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000110

Recommendations

• ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• The bias of lag window estimators of the fractional difference parameter.
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• scientific article; zbMATH DE number 795280

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
• Likelihood inference for a fractionally cointegrated vector autoregressive model
• Weak convergence of multivariate fractional processes
• A Fractional Dickey-Fuller Test for Unit Roots
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• Central limit theorems for quadratic forms with time-domain conditions
• Likelihood inference for a nonstationary fractional autoregressive model
• Type I and type II fractional Brownian motions: a reconsideration
• A fast fractional difference algorithm
• A necessary moment condition for the fractional functional central limit theorem
• Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models

Cited In (13)

• Adaptive long memory testing under heteroskedasticity
• Truncated sum of squares estimation of fractional time series models with deterministic trends
• Minimax filtering of sequences with periodically stationary increments
• Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
• Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
• To infinity and beyond: efficient computation of ARCH\((\infty)\) models
• Nonstationary cointegration in the fractionally cointegrated VAR Model
• Consumption, aggregate wealth and expected stock returns: an FCVAR approach
• Theory and applications of financial chaos index
• Estimating the mean under strong persistence
• ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS
• Generating univariate fractional integration within a large VAR(1)
• A generalised fractional differencing bootstrap for long memory processes

This page was built for publication: The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2976205)