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subject:"Monte Carlo simulation"
~isPartOf:"CREATES research paper"
~isPartOf:"Economic modelling"
~isPartOf:"IEAS working paper"
~isPartOf:"Journal of econometrics"
~person:"Nielsen, Morten Ørregaard"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Maximum likelihood estimation"
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Monte Carlo simulation
Zeitreihenanalyse
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Time series analysis
5
Bootstrap approach
3
Bootstrap-Verfahren
3
Estimation theory
3
Heteroscedasticity
3
Heteroskedastizität
3
Schätztheorie
3
Einheitswurzeltest
2
Unit root test
2
ARCH model
1
ARCH-Modell
1
Autocorrelation
1
Autokorrelation
1
Conditional sum-of-squares
1
Conditional/unconditional heteroskedasticity
1
Estimation
1
Fractional integration
1
Modellierung
1
Quasi-maximum likelihood estimation
1
Schätzung
1
Scientific modelling
1
Statistical test
1
Statistischer Test
1
Stochastic process
1
Stochastischer Prozess
1
Wild bootstrap
1
adaptive estimation
1
conditional sum-of-squares
1
fractional integration
1
heteroskedasticity
1
quasi-maximum likelihood estimation
1
wild bootstrap
1
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Working Paper
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English
5
Author
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Nielsen, Morten Ørregaard
Cavaliere, Giuseppe
3
Koopman, Siem Jan
3
Taylor, Robert
3
Blasques, Francisco
2
Kim, Donggyu
2
Tsay, Wen-jen
2
Wang, Yazhen
2
Zha, Tao
2
Asai, Manabu
1
Brummelen, Janneke van
1
Chang, Chia-Lin
1
Chang, Yoosoon
1
Chen, Song Xi
1
Chen, Xiaohong
1
Cui, Xiangyu
1
Fiorentini, Gabriele
1
Francq, Christian
1
Galesi, Alessandro
1
Gao, Jiti
1
Gaure, Simen
1
Giesecke, Kay
1
Hayakawa, Kazuhiko
1
Hong, Yongmiao
1
Horowitz, Joel
1
Huang, Zhuo
1
Jacquier, Eric
1
Jansson, Michael
1
Johannes, Michael
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Johansen, Søren
1
Lai, Hung-pin
1
Li, Haitao
1
Li, Kunpeng
1
Liu, Cheng
1
Lu, Zhiping
1
Lucas, André
1
Mallee, Max I. P.
1
Martin, Gael M.
1
McAleer, Michael
1
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CREATES research paper
Economic modelling
IEAS working paper
Journal of econometrics
Queen's Economics Department working paper
4
Discussion papers / Department of Economics, University of Copenhagen
1
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
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1
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
2
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
Saved in:
3
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
Saved in:
4
Efficient likelihood ratio tests for seasonal unit roots
Jansson, Michael
;
Nielsen, Morten Ørregaard
-
2009
Persistent link: https://www.econbiz.de/10003903502
Saved in:
5
Likelihood inference for a nonstationary fractional autoregressive model
Johansen, Søren
;
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
158
(
2010
)
1
,
pp. 51-66
Persistent link: https://www.econbiz.de/10008826876
Saved in:
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