Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

DOI10.1198/016214503000000918zbMath1045.62089OpenAlexW1966617811MaRDI QIDQ4468546

Shiqing Ling

Publication date: 10 June 2004

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214503000000918

zbMATH Keywords

adaptive estimatorlong memoryefficient estimatorkernel estimatornonstationarityWald testsCPIlog-likelihood ratiolocally asymptotic normalityARFIMA-GARCH model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (16)

A New Test for Short Memory in Long Memory Time Series ⋮ Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Time-varying multivariate causal processes ⋮ Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms ⋮ On dynamics of volatilities in nonstationary GARCH models ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ Fitting an error distribution in some heteroscedastic time series models ⋮ On functional limits of short- and long-memory linear processes with GARCH(1,1) noises ⋮ Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Bayesian Inference for ARFIMA Models ⋮ Adaptive Estimation of Causal Periodic Autoregressive Model ⋮ Efficiency improvements in inference on stationary and nonstationary fractional time series ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets ⋮ Parametric Inference in Stationary Time Series Models with Dependent Errors

This page was built for publication: Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models