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subject:"Time series analysis"
~isPartOf:"CREATES research paper"
~isPartOf:"Discussion paper / Center for Economic Research, Tilburg University"
~person:"Nielsen, Morten Ørregaard"
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Search: subject_exact:"Estimation theory"
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Time series analysis
Estimation theory
15
Schätztheorie
15
Zeitreihenanalyse
11
Bootstrap approach
5
Bootstrap-Verfahren
5
Cluster analysis
3
Clusteranalyse
3
Cointegration
3
Estimation
3
Heteroscedasticity
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Heteroskedastizität
3
Induktive Statistik
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Kointegration
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Regional cluster
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Regionales Cluster
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Schätzung
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Statistical inference
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cluster-robust variance estimator
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nonstationarity
3
wild cluster bootstrap
3
ARCH model
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ARCH-Modell
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Asymptotic normality
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Stochastic process
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Stochastischer Prozess
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clustered data
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conditional heteroskedasticity
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consistency
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deterministic trend
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fractional process
2
generalized polynomial trend
2
noninvertibility
2
robust inference
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ARMA model
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English
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Nielsen, Morten Ørregaard
Johansen, Søren
7
Teräsvirta, Timo
6
Kristensen, Dennis
4
Taylor, Robert
4
Werker, Bas J. M.
4
Cavaliere, Giuseppe
3
Christensen, Kim
3
Drost, Feike C.
3
Podolskij, Mark
3
Proietti, Tommaso
3
Santucci de Magistris, Paolo
3
Čížek, Pavel
3
Andersen, Torben
2
Durbin, James
2
Ergemen, Yunus Emre
2
Grassi, Stefano
2
Hualde, Javier
2
Kanaya, Shin
2
Kang, Jian
2
Koopman, Siem Jan
2
Kruse, Robinson
2
Nielsen, Bent
2
Nijman, Theodore E.
2
Rossi, Eduardo
2
Seong, Dakyung
2
Silvennoinen, Annastiina
2
Yang, Yukai
2
Akker, Ramon van den
1
Andreou, Elena
1
Banerjee, Anurag Narayan
1
Bennedsen, Mikkel
1
Bera, Anil K.
1
Berenguer-Rico, Vanessa
1
Bunzel, Helle
1
Callot, Laurent A. F.
1
Casas, Isabel
1
Catani, Paul
1
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CREATES research paper
Discussion paper / Center for Economic Research, Tilburg University
Queen's Economics Department working paper
11
Econometric theory
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
CAE working paper
1
Discussion papers / Department of Economics, University of Copenhagen
1
Journal of applied econometrics
1
Journal of econometrics
1
Journal of empirical finance
1
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ECONIS (ZBW)
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Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189455
Saved in:
2
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
3
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
4
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2020
Persistent link: https://www.econbiz.de/10012317784
Saved in:
5
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
6
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
Saved in:
7
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:
8
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard
-
2014
Persistent link: https://www.econbiz.de/10010413826
Saved in:
9
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
10
The role of initial values in nonstationary fractional time series models
Johansen, Søren
;
Nielsen, Morten Ørregaard
-
2012
Persistent link: https://www.econbiz.de/10009667400
Saved in:
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