Higher-order kernel semiparametric M-estimation of long memory

DOI10.1016/S0304-4076(02)00208-7zbMath1023.62106MaRDI QIDQ1870094

Marc Henry, Peter M. Robinson

Publication date: 4 May 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

tableslong memorybiassemiparametric methodsmean-squared errorM-estimationhigher-order kernel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

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