The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
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Publication:2976205
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- scientific article; zbMATH DE number 795280
Cites work
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3395169 (Why is no real title available?)
- A Fractional Dickey-Fuller Test for Unit Roots
- A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
- 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
- Central limit theorems for quadratic forms with time-domain conditions
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- Gaussian pseudo-maximum likelihood estimation of fractional time series models
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Likelihood inference for a nonstationary fractional autoregressive model
- Type I and type II fractional Brownian motions: a reconsideration
- Weak convergence of multivariate fractional processes
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- 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
- Estimating the mean under strong persistence
- Generating univariate fractional integration within a large VAR(1)
- Truncated sum of squares estimation of fractional time series models with deterministic trends
- Adaptive long memory testing under heteroskedasticity
- Minimax filtering of sequences with periodically stationary increments
- Theory and applications of financial chaos index
- A generalised fractional differencing bootstrap for long memory processes
- ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS
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