The effect of tapering on the semiparametric estimators for nonstationary long memory processes
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Cites work
- scientific article; zbMATH DE number 3642565 (Why is no real title available?)
- scientific article; zbMATH DE number 3502569 (Why is no real title available?)
- scientific article; zbMATH DE number 1055645 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- An Algorithm for the Machine Calculation of Complex Fourier Series
- An analysis of variance test for normality (complete samples)
- An efficient taper for potentially overdifferenced long-memory time series
- Averaged periodogram estimation of long memory
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- Fractional differencing
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Gaussian semiparametric estimation of long range dependence
- Large-sample properties of the periodogram estimator of seasonally persistent processes
- Local Whittle estimation in nonstationary and unit root cases.
- Log-periodogram regression of time series with long range dependence
- Long-range dependence in the conditional variance of stock returns
- Non-stationary log-periodogram regression
- On a measure of lack of fit in time series models
- Semiparametric analysis of long-memory time series
- Spectrum estimation with missing observations
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Testing for a unit root in time series regression
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Two estimators of the long-run variance: beyond short memory
Cited in
(7)- Efficiency in estimation of memory
- Statistical estimation for stationary models with tapered data
- Detecting fuzzy periodic patterns in futures spreads
- Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
- Bootstrapping regression models with locally stationary disturbances
- Efficient tapered local Whittle estimation of multivariate fractional processes
- Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
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