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subject:"Zeitreihenanalyse"
~isPartOf:"CREATES research paper"
~person:"Dong, Chaohua"
~person:"Li, Degui"
~person:"Nielsen, Morten Ørregaard"
~subject:"Stochastic process"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Stochastic process
Estimation theory
16
Schätztheorie
16
Time series analysis
12
Bootstrap approach
5
Bootstrap-Verfahren
5
Cluster analysis
3
Clusteranalyse
3
Cointegration
3
Estimation
3
Heteroscedasticity
3
Heteroskedastizität
3
Induktive Statistik
3
Kointegration
3
Regional cluster
3
Regionales Cluster
3
Schätzung
3
Statistical inference
3
cluster-robust variance estimator
3
nonstationarity
3
wild cluster bootstrap
3
ARCH model
2
ARCH-Modell
2
Asymptotic normality
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
Stochastischer Prozess
2
clustered data
2
conditional heteroskedasticity
2
consistency
2
deterministic trend
2
fractional process
2
generalized polynomial trend
2
noninvertibility
2
robust inference
2
ARMA model
1
ARMA-Modell
1
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12
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Book / Working Paper
12
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Arbeitspapier
12
Graue Literatur
12
Non-commercial literature
12
Working Paper
12
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English
12
Author
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Dong, Chaohua
Li, Degui
Nielsen, Morten Ørregaard
Johansen, Søren
7
Teräsvirta, Timo
6
Kristensen, Dennis
5
Podolskij, Mark
4
Santucci de Magistris, Paolo
4
Taylor, Robert
4
Cavaliere, Giuseppe
3
Christensen, Kim
3
Proietti, Tommaso
3
Rossi, Eduardo
3
Andersen, Torben
2
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Ergemen, Yunus Emre
2
Grassi, Stefano
2
Hualde, Javier
2
Kanaya, Shin
2
Kang, Jian
2
Kruse, Robinson
2
Lunde, Asger
2
Nielsen, Bent
2
Pakkanen, Mikko S.
2
Seong, Dakyung
2
Silvennoinen, Annastiina
2
Yang, Yukai
2
Berenguer-Rico, Vanessa
1
Bunzel, Helle
1
Callot, Laurent A. F.
1
Casas, Isabel
1
Catani, Paul
1
Cho, Jin Seo
1
Christensen, Bent Jesper
1
Corcuera, José Manual
1
Creel, Michael D.
1
Dahl, Christian M.
1
Dobrev, Dobrislav
1
Floor Brix, Anne
1
Franchi, Massimo
1
Gao, Jiti
1
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CREATES research paper
Working paper / Department of Econometrics and Business Statistics, Monash University
12
Queen's Economics Department working paper
11
Journal of econometrics
7
Econometric theory
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric reviews
3
CEMMAP working papers / Centre for Microdata Methods and Practice
2
Cambridge working papers in economics
2
Discussion papers in economics
2
Janeway Institute working paper series
2
CAE working paper
1
Cowles Foundation Discussion Paper
1
Cowles Foundation discussion paper
1
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1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
The econometrics journal
1
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ECONIS (ZBW)
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1
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:
2
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:
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
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:
9
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:
10
Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti
;
Kanaya, Shin
;
Li, Degui
;
Tjostheim, Dag
-
2013
Persistent link: https://www.econbiz.de/10009790613
Saved in:
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