ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS

DOI10.1017/S0266466601174049zbMATH Open1018.62075WikidataQ130037030 ScholiaQ130037030MaRDI QIDQ4807264FDOQ4807264

Authors: Shiqing Ling, Wai Keung Li 

Publication date: 18 May 2003

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

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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)

Cited In (21)

• 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 behavior of weighted quadratic variation of tempered fractional Brownian motion
• Asymptotic inference results for multivariate long‐memory processes
• A joint test of fractional integration and structural breaks at a known period of time
• Efficient inference in multivariate fractionally integrated time series models

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