Expansions for approximate maximum likelihood estimators of the fractional difference parameter

DOI10.1111/J.1368-423X.2005.00169.XMaRDI QIDQ3367409zbMATH OpenFDO

Authors Offer Lieberman, Peter C. B. Phillips

Publication date 24 January 2006

Published in Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

Edgeworth expansionfractional differencingBootstrappivotal statisticARFIMA

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cites work

• Asymptotic theory of statistical inference for time series
• EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
• Edgeworth expansions for semiparametric Whittle estimation of long memory.
• Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
• Long memory processes and fractional integration in econometrics
• On large-sample estimation for the mean of a stationary random sequence
• VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process

Cited in

(4)

• Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra
• ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS
• Refined Inference on Long Memory in Realized Volatility
• EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

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