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Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
(Institute of Mathematical Statistics, 2022)
Artículo / Artikulua,
We consider truncated (or conditional) sum-of-squares estimation of a parametric fractional time series model with an additive deterministic structure. The latter consists of both a drift term and a generalized power law ...
Estimation of long-run parameters in unbalanced cointegration
(Elsevier, 2014)
Artículo / Artikulua,
This paper analyses the asymptotic properties of nonlinear least squares estimators of the long run
parameters in a bivariate unbalanced cointegration framework. Unbalanced cointegration refers to the
situation where the ...
Fixed bandwidth inference for fractional cointegration
(Wiley, 2019)
info:eu-repo/semantics/article,
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
(Elsevier, 2017)
info:eu-repo/semantics/article,
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 ...
Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes
(Elsevier, 2017)
info:eu-repo/semantics/article,
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 ...
Small‐b and fixed‐b asymptotics for weighted covariance estimation in fractional cointegration
(Wiley, 2015)
info:eu-repo/semantics/article,
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 ...