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~institution:"School of Economics and Management, University of Aarhus"
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Asymptotic normality
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conditional-sum-of-squares estimator
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consistency
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fractional integration
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fractional time series
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likelihood inference
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Nielsen, Morten Ørregaard
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School of Economics and Management, University of Aarhus
Economics Department, Queen's University
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Department of Econometrics and Business Statistics, Monash Business School
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Asymptotics for the
conditional-sum-of-squares
estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard
-
School of Economics and Management, University of Aarhus
-
2014
This paper proves consistency and asymptotic normality for the
conditional-sum-of-squares
estimator, which is …
Persistent link: https://www.econbiz.de/10010935035
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