Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence

DOI10.1111/J.1467-9892.2005.00401.XMaRDI QIDQ5467604zbMATH OpenOpenAlexFDO

Authors Morten Ørregaard Nielsen

Publication date 24 May 2006

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00401.x

zbMATH Keywords

asymptotic normalityWhittle likelihoodgeneralized least squarescross-periodogram

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3860263 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 2174795 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• A semiparametric two-step estimator in a multivariate long memory model
• Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
• Averaged periodogram estimation of long memory
• CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• Large-sample inference for nonparametric regression with dependent errors
• On large-sample estimation for the mean of a stationary random sequence
• The central limit theorem for time series regression
• The spurious regression of fractionally integrated processes
• Time series regression with long-range dependence
• Understanding spurious regressions in econometrics

Cited in

(16)

• Multiple local Whittle estimation in stationary systems
• Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• Semiparametric estimation of the long-range parameter
• Local linear regression estimation for time series with long-range dependence
• A comparison of semiparametric tests for fractional cointegration
• Semiparametric Estimator of Time Series Conditional Variance
• Semiparametric estimation from time series with long-range dependence
• Fixed bandwidth inference for fractional cointegration
• Fully modified narrow-band least squares estimation of weak fractional cointegration
• Consistent inference for predictive regressions in persistent economic systems
• Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
• Spectral regression for cointegrated time series with long-memory innovations
• Semiparametric sieve-type generalized least squares inference
• A generalised fractional differencing bootstrap for long memory processes
• scientific article; zbMATH DE number 1944313 (Why is no real title available?)

Describes a project that uses

Uses Software

• longmemo
• ARFIMA
• Ox

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