Expansions for approximate maximum likelihood estimators of the fractional difference parameter

DOI10.1111/j.1368-423X.2005.00169.xzbMath1083.62091MaRDI QIDQ3367409

Peter C. B. Phillips, Offer Lieberman

Publication date: 24 January 2006

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

zbMATH Keywords

BootstrapEdgeworth expansionfractional differencingARFIMApivotal statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (2)

Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra ⋮ Refined Inference on Long Memory in Realized Volatility

Cites Work

• On large-sample estimation for the mean of a stationary random sequence
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
• Edgeworth expansions for semiparametric Whittle estimation of long memory.
• Asymptotic theory of statistical inference for time series
• Long memory processes and fractional integration in econometrics
• VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
• EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
• Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra

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