THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

DOI10.1017/S0266466615000110zbMath1441.62757OpenAlexW1884631289MaRDI QIDQ2976205

Morten Ørregaard Nielsen, Søren Glud Johansen

Publication date: 28 April 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000110

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

Related Items (13)

Unnamed Item ⋮ Minimax filtering of sequences with periodically stationary increments ⋮ Truncated sum-of-squares estimation of fractional time series models with generalized power law trend ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS ⋮ Generating univariate fractional integration within a large VAR(1) ⋮ Consumption, aggregate wealth and expected stock returns: an FCVAR approach ⋮ Estimating the mean under strong persistence ⋮ ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Nonstationary Cointegration in the Fractionally Cointegrated VAR Model ⋮ Theory and applications of financial chaos index ⋮ To infinity and beyond: Efficient computation of ARCH(∞) models

Cites Work

• Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• Likelihood inference for a nonstationary fractional autoregressive model
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Type I and type II fractional Brownian motions: a reconsideration
• Central limit theorems for quadratic forms with time-domain conditions
• Weak convergence of multivariate fractional processes
• A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
• A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
• A FAST FRACTIONAL DIFFERENCE ALGORITHM
• Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
• A Fractional Dickey-Fuller Test for Unit Roots
• Unnamed Item
• Unnamed Item

This page was built for publication: THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS