Now showing items 1-4 of 4

    • Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes 

      Hualde Bilbao, Javier Upna Orcid; Iacone, Fabrizio (Elsevier, 2017)   Artículo / Artikulua  OpenAccess
      We consider inference for the mean of a general stationary process based on standardizing the sample mean by a frequency domain estimator of the long run variance. Here, the main novelty is that we consider alternative ...
    • Fixed bandwidth inference for fractional cointegration 

      Hualde Bilbao, Javier Upna Orcid; Iacone, Fabrizio (Wiley, 2019)   Artículo / Artikulua  OpenAccess
      In a fractional cointegration setting we derive the fixed bandwidth limiting theory of a class of estimators of the cointegrating parameter which are constructed as ratios of weighted periodogram averages. These estimators ...
    • Revisiting inflation in the euro area allowing for long memory 

      Hualde Bilbao, Javier Upna Orcid; Iacone, Fabrizio (Elsevier, 2017)   Artículo / Artikulua  OpenAccess
      We analyse inflation and inflation differentials in the euro area allowing for long memory and a new type of limiting theory denoted fixed-bandwidth. Our results differ from those based on standard normal asymptotics and ...
    • Small‐b and fixed‐b asymptotics for weighted covariance estimation in fractional cointegration 

      Hualde Bilbao, Javier Upna Orcid; Iacone, Fabrizio (Wiley, 2015)   Artículo / Artikulua  OpenAccess
      In a standard cointegrating framework, Phillips (1991) introduced the weighted covariance (WC) estimator of cointegrating parameters. Later, Marinucci (2000) applied this estimator to fractional circumstances and, like ...

      El Repositorio ha recibido la ayuda de la Fundación Española para la Ciencia y la Tecnología para la realización de actividades en el ámbito del fomento de la investigación científica de excelencia, en la Línea 2. Repositorios institucionales (convocatoria 2020-2021).
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