Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models

DOI10.1111/jtsa.12100zbMath1326.62191OpenAlexW1919448723MaRDI QIDQ5177969

Morten Ørregaard Nielsen

Publication date: 9 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://ageconsearch.umn.edu/record/273758

zbMATH Keywords

consistencyasymptotic normalityuniform convergencefractional integrationlong memorylikelihood inferencenon-stationaryfractional time seriesconditional-sum-of-squares estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (15)

Truncated sum-of-squares estimation of fractional time series models with generalized power law trend ⋮ CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS ⋮ Combining long memory and level shifts in modelling and forecasting the volatility of asset returns ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Parametric estimation of long memory in factor models ⋮ Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms ⋮ TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS ⋮ THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects ⋮ Testing for parameter instability and structural change in persistent predictive regressions ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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
• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Asymptotics for linear processes
• Gaussian semiparametric estimation of long range dependence
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• Efficiency improvements in inference on stationary and nonstationary fractional time series
• Exact local Whittle estimation of fractional integration
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
• NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION
• Uniform Convergence in Probability and Stochastic Equicontinuity
• Efficient Tests of Nonstationary Hypotheses
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
• ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
• Fractional Invariance Principle
• An exponential model for the spectrum of a scalar time series
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration

This page was built for publication: Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models