EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS

DOI10.1017/S0266466604201050zbMath1046.62091OpenAlexW3121268895MaRDI QIDQ4814248

Morten Ørregaard Nielsen

Publication date: 7 September 2004

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

Full work available at URL: https://doi.org/10.1017/s0266466604201050

zbMATH Keywords

finite sample performanceserially correlated errorsmartingale difference errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

Related Items (16)

Efficient inference in multivariate fractionally integrated time series models ⋮ A regime switching long memory model for electricity prices ⋮ Local asymptotic powers of nonparametric and semiparametric tests for fractional integration ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models ⋮ Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model ⋮ Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices ⋮ TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT ⋮ Likelihood inference for a nonstationary fractional autoregressive model ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Finite sample performance of frequency- and time-domain tests for seasonal fractional integration ⋮ TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN ⋮ EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Uses Software

• Ox
• ARFIMA

Cites Work

• Testing Stochastic Cycles in Macroeconomic Time Series

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