Add to ORKGAn exact form of the local Whittle likelihood is studied with the intent of developing a general purpose estimation procedure for the memory parameter ( d ) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have the same N (0,1/4) limit distribution for all values of d if the optimization covers an interval of width less than 9/2 and the initial value of the process is known
We propose a semiparametric local polynomial Whittle with noise (LPWN) estimator of the memory param...
I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum like...
The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have ...
An exact form of the local Whittle likelihood is studied with the intent of developing a general pur...
An exact form of the local Whittle likelihood is studied with the intent of developing a general pur...
An exact form of the local Whittle likelihood is studied with the intent of developing a general pur...
Recently, Shimotsu and Phillips (2005, Annals of Statistics 33, 1890–1933) developed a new semiparam...
Asymptotic properties of the local Whittle estimator in the nonstationary case (d \u3e 1/2) are expl...
Semiparametric estimation of a bivariate fractionally cointegrated system is con-sidered. We propose...
Semiparametric estimation of a bivariate fractionally coitegrated system is considered. The new esti...
In this article, we describe and implement the local Whittle and exact local Whittle estimators of t...
Semiparametric estimation of a bivariate fractionally cointegrated system is considered. The new est...
and Queen’s University Asymptotic properties of the local Whittle estimator in the nonstationary cas...
We discuss the estimation of the order of integration of a fractional process that may be contaminat...
For long memory time series models with uncorrelated but dependent errors, we establish the asymptot...
We propose a semiparametric local polynomial Whittle with noise (LPWN) estimator of the memory param...
I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum like...
The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have ...
An exact form of the local Whittle likelihood is studied with the intent of developing a general pur...
An exact form of the local Whittle likelihood is studied with the intent of developing a general pur...
An exact form of the local Whittle likelihood is studied with the intent of developing a general pur...
Recently, Shimotsu and Phillips (2005, Annals of Statistics 33, 1890–1933) developed a new semiparam...
Asymptotic properties of the local Whittle estimator in the nonstationary case (d \u3e 1/2) are expl...
Semiparametric estimation of a bivariate fractionally cointegrated system is con-sidered. We propose...
Semiparametric estimation of a bivariate fractionally coitegrated system is considered. The new esti...
In this article, we describe and implement the local Whittle and exact local Whittle estimators of t...
Semiparametric estimation of a bivariate fractionally cointegrated system is considered. The new est...
and Queen’s University Asymptotic properties of the local Whittle estimator in the nonstationary cas...
We discuss the estimation of the order of integration of a fractional process that may be contaminat...
For long memory time series models with uncorrelated but dependent errors, we establish the asymptot...
We propose a semiparametric local polynomial Whittle with noise (LPWN) estimator of the memory param...
I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum like...
The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have ...