Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
Year of publication: |
2002-05
|
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Authors: | Sun, Yixiao ; Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Asymptotic bias | Asymptotic normality | Bias reduction | Fractional components model | Perturbed fractional process | Rate of convergence | Testing perturbations |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | CFP 1077. Published in Journal of Econometrics (2003), 115(2): 355-389 The price is None Number 1366 40 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
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