Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
DOI10.1111/J.1467-9892.2005.00401.XzbMATH Open1097.62085OpenAlexW3123858928MaRDI QIDQ5467604FDOQ5467604
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
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Cites Work
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- CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
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- Gaussian Semi‐parametric Estimation of Fractional Cointegration
- The central limit theorem for time series regression
- Time series regression with long-range dependence
- Understanding spurious regressions in econometrics
- Large-sample inference for nonparametric regression with dependent errors
- The spurious regression of fractionally integrated processes
- Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
Cited In (16)
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Multiple local Whittle estimation in stationary systems
- 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
- Semiparametric sieve-type generalized least squares inference
- Spectral regression for cointegrated time series with long-memory innovations
- A generalised fractional differencing bootstrap for long memory processes
- Title not available (Why is that?)
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