EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

DOI10.1017/S0266466604203024zbMath1061.62022MaRDI QIDQ4653557

Peter C. B. Phillips, Offer Lieberman

Publication date: 7 March 2005

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

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Related Items

Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra, ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES, Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration, Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes, Higher-order improvements of the sieve bootstrap for fractionally integrated processes, Unnamed Item, Expansions for approximate maximum likelihood estimators of the fractional difference parameter, Refined Inference on Long Memory in Realized Volatility, Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes

Cites Work

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• On methods of asymptotic approximation for multivariate distributions