Likelihood inference for a nonstationary fractional autoregressive model
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3549968 (Why is no real title available?)
- scientific article; zbMATH DE number 1944322 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
- A Fractional Dickey-Fuller Test for Unit Roots
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
- Asymptotic Statistics
- Cointegration in Fractional Systems with Unknown Integration Orders
- Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
- Efficient Tests of Nonstationary Hypotheses
- Efficient Wald Tests for Fractional Unit Roots
- Inference for unstable long-memory processes with applications to fractional unit root autoregressions
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Long memory processes and fractional integration in econometrics
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- The Fractional Unit Root Distribution
- The Invariance Principle for Stationary Processes
- Time Series Regression with a Unit Root
- Weak convergence of multivariate fractional processes
Cited in
(25)- Consumption, aggregate wealth and expected stock returns: an FCVAR approach
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- Nonstationary cointegration in the fractionally cointegrated VAR Model
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Investigating volatility transmission across international equity markets using multivariate fractional models
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
- A general inversion theorem for cointegration
- Nonparametric likelihood inference for general autoregressive models
- The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
- Truncated sum of squares estimation of fractional time series models with deterministic trends
- Adaptive long memory testing under heteroskedasticity
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
- A generalised fractional differencing bootstrap for long memory processes
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
- On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS
- DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
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