ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS

DOI10.1017/S0266466601174049MaRDI QIDQ4807264zbMATH OpenWikidataFDO

Authors Shiqing Ling, Wai Keung Li

Publication date 18 May 2003

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited in

(21)

• Efficient inference in multivariate fractionally integrated time series models
• Adaptive long memory testing under heteroskedasticity
• The distance between rival nonstationary fractional processes
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Regression quantiles for unstable autoregressive models
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
• Feynman-Kac formula for general diffusion equations driven by TFBM with Hurst index \(H \in (0,1)\)
• Likelihood inference for a nonstationary fractional autoregressive model
• The continuity, regularity and polynomial stability of mild solutions for stochastic 2D-Stokes equations with unbounded delay driven by tempered fractional Gaussian noise
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing
• Likelihood inference for a fractionally cointegrated vector autoregressive model
• Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• Modification of autoregressive fractionally integrated moving average models for the estimation of persistence
• Asymptotic inference results for multivariate long‐memory processes
• Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion
• A joint test of fractional integration and structural breaks at a known period of time

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