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

DOI10.1017/S0266466619000161zbMATH Open1447.62025OpenAlexW3122721520WikidataQ127572535 ScholiaQ127572535MaRDI QIDQ5118577FDOQ5118577

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

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• Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
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• Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
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zbMATH Keywords

parametric modelfractional time series

Mathematics Subject Classification ID

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

Cites Work

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• Efficiency improvements in inference on stationary and nonstationary fractional time series
• ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
• Local Whittle estimation of the memory parameter in presence of deterministic components
• Likelihood inference for a nonstationary fractional autoregressive model
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• Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
• Consideration of trends in 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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