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Search: subject:"conditional sum of squares"
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Schätztheorie
Estimation theory
10
Time series analysis
9
Zeitreihenanalyse
9
fractional integration
9
Long memory
7
Estimation
6
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Schätzung
6
conditional sum of squares
6
conditional sum-of-squares
6
quasi-maximum likelihood estimation
6
Heteroscedasticity
5
Heteroskedastizität
5
heteroskedasticity
5
ARCH model
4
ARCH-Modell
4
Bootstrap approach
4
Bootstrap-Verfahren
4
long memory
4
(un)conditional heteroskedasticity
3
Gegenbauer polynomial
3
Whittle
3
Whittle estimation
3
adaptive estimation
3
conditional-sum-of-squares estimator
3
consistency
3
fractional time series
3
likelihood inference
3
nonstationary
3
uniform convergence
3
wild bootstrap
3
Asymptotic normality
2
Capital income
2
Conditional sum of squares
2
Conditional sum of squares estimation
2
Conditional sum-of-squares
2
Factor analysis
2
Factor models
2
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7
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Graue Literatur
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English
10
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Cavaliere, Giuseppe
5
Nielsen, Morten Ørregaard
5
Taylor, Robert
5
Ergemen, Yunus Emre
2
Martin, Gael M.
2
Nadarajah, K.
2
Poskitt, Donald Stephen
2
Yabe, Ryota
1
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CREATES research paper
2
Journal of econometrics
2
Queen's Economics Department working paper
2
Working paper / Department of Econometrics and Business Statistics, Monash University
2
Discussion papers / Graduate School of Economics, Hitotsubashi University
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
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
4
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
5
Asymptotic distribution of the
conditional
sum
of
squares
estimator under moderate deviation from a unit root in MA(1)
Yabe, Ryota
-
2014
Persistent link: https://www.econbiz.de/10011350325
Saved in:
6
Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.
;
Nadarajah, K.
;
Poskitt, Donald Stephen
-
2018
Persistent link: https://www.econbiz.de/10012583573
Saved in:
7
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2017
conditional and unconditional heteroskedasticity of unknown form. Although the standard
conditional
sum-of-squares
(CSS) estimator …
Persistent link: https://www.econbiz.de/10011756074
Saved in:
8
Quasi-maximum likelihood estimation of heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
In a recent paper Hualde and Robinson (2011) establish consistency and asymptotic normality for
conditional
sum-of-squares
…
Persistent link: https://www.econbiz.de/10010360982
Saved in:
9
Issues in the estimation of mMis-specified models of fractionally integrated processes
Nadarajah, K.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2014
Persistent link: https://www.econbiz.de/10011780803
Saved in:
10
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:
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