ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS

DOI10.1017/S0266466601174049zbMath1018.62075MaRDI QIDQ4807264

Shiqing Ling, Wai Keung Li

Publication date: 18 May 2003

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

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (10)

Efficient inference in multivariate fractionally integrated time series models ⋮ Regression quantiles for unstable autoregressive models ⋮ The continuity, regularity and polynomial stability of mild solutions for stochastic 2D-Stokes equations with unbounded delay driven by tempered fractional Gaussian noise ⋮ Tempered fractional Brownian motion: wavelet estimation, modeling and testing ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ A joint test of fractional integration and structural breaks at a known period of time ⋮ Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model ⋮ Likelihood inference for a nonstationary fractional autoregressive model ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors

This page was built for publication: ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS