Listar por autor "Iacone, Fabrizio"
Mostrando ítems 1-4 de 4
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Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes
Hualde Bilbao, Javier
; Iacone, Fabrizio (Elsevier, 2017)
Artículo / Artikulua 
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 ; Iacone, Fabrizio (Wiley, 2019)
Artículo / Artikulua
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 ; Iacone, Fabrizio (Elsevier, 2017)
Artículo / Artikulua
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 ; Iacone, Fabrizio (Wiley, 2015)
Artículo / Artikulua
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 ...
