Truncated sum of squares estimation of fractional time series models with deterministic trends

DOI10.1017/S0266466619000161MaRDI QIDQ5118577zbMATH OpenOpenAlexWikidataFDO

Authors Javier Hualde, Morten Ørregaard Nielsen

Publication date 26 August 2020

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466619000161

zbMATH Keywords

parametric modelfractional time series

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 795280 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
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• Asymptotic theory of nonlinear least squares estimation
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• Cointegration in fractional systems with deterministic trends
• Consideration of trends in time series
• Discrimination between monotonic trends and long-range dependence
• Efficiency improvements in inference on stationary and nonstationary fractional time series
• Efficient Tests of Nonstationary Hypotheses
• Efficient parameter estimation for self-similar processes
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• Inference on power law spatial trends
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Likelihood inference for a nonstationary fractional autoregressive model
• Local Whittle estimation of the memory parameter in presence of deterministic components
• Nonstationarity-extended local Whittle estimation
• ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
• Regression with slowly varying regressors and nonlinear trends
• The asymptotic theory of linear time-series models
• The average periodogram for nonstationary vector time series
• The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

Cited in

(5)

• Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
• Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
• LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• Efficiency improvements in inference on stationary and nonstationary fractional time series

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