An I(d) model with trend and cycles
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Publication:737963
DOI10.1016/J.JECONOM.2011.03.006zbMATH Open1441.62573OpenAlexW3121724724MaRDI QIDQ737963FDOQ737963
Authors: Karim M. Abadir, Walter Distaso, L. Giraitis 
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.03.006
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Cites Work
- Title not available (Why is that?)
- The Invariance Principle for Stationary Processes
- Gaussian semiparametric estimation of long range dependence
- Exact local Whittle estimation of fractional integration
- Nonstationarity-extended local Whittle estimation
- Convergence of integrated processes of arbitrary Hermite rank
- Linear Trend with Fractionally Integrated Errors
- CLT and other limit theorems for functionals of Gaussian processes
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- On estimation of a regression model with long-memory stationary errors
- Asymptotic properties of the LSE in a regression model with long-memory stationary errors
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- Consistent estimation of the memory parameter for nonlinear time series
- Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
- On weak convergence of integral functionals of stochastic processes with applications to processes taking paths in \(L^ E_ p\)
- Efficiency improvements in inference on stationary and nonstationary fractional time series
- Semiparametric analysis of long-range dependence in nonlinear regression
- Asymptotic theory of nonlinear regression with long-range dependence
- Efficient location and regression estimation for long range dependent regression models
- Estimating the fundamental frequency of a periodic function
Cited In (9)
- Long Memory Factor Model: On Estimation of Factor Memories
- Modified information criteria and selection of long memory time series models
- Efficient tapered local Whittle estimation of multivariate fractional processes
- Whittle-type estimation under long memory and nonstationarity
- Common trends and cycles in I(2) VAR systems
- Testing for a break in trend when the order of integration is unknown
- Spectral approach to parameter-free unit root testing
- Semiparametric detection of changes in long range dependence
- Robust testing of time trend and mean with unknown integration order errors
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