Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

DOI10.1198/016214503000000918zbMATH Open1045.62089OpenAlexW1966617811MaRDI QIDQ4468546FDOQ4468546

Authors: Shiqing Ling 

Publication date: 10 June 2004

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214503000000918

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zbMATH Keywords

nonstationaritykernel estimatorlog-likelihood ratiolong memoryWald testsefficient estimatoradaptive estimatorCPIlocally asymptotic normalityARFIMA-GARCH model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (22)

• Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
• Adaptive long memory testing under heteroskedasticity
• Adaptive Inference in Heteroscedastic Fractional Time Series Models
• A general asymptotic theory for time-series models
• Parametric inference in stationary time series models with dependent errors
• A note on adaptation in garch models
• Estimating FARIMA models with uncorrelated but non-independent error terms
• Adaptive estimation of causal periodic autoregressive model
• On dynamics of volatilities in nonstationary GARCH models
• Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• A New Test for Short Memory in Long Memory Time Series
• Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• Bayesian inference for ARFIMA models
• Fitting an error distribution in some heteroscedastic time series models
• Efficiency improvements in inference on stationary and nonstationary fractional time series
• Time-varying multivariate causal processes
• Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries
• Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms

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