This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is … novelty of the consistency result, in particular, is that it applies to a multivariate model and to an arbitrarily large set …

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is … novelty of the consistency result, in particular, is that it applies to a multivariate model and to an arbitrarily large set …

different forms of nonstationarity and noninvertibility. As in related settings, the proof of consistency (which is a … stochastic and deterministic components. We establish consistency and asymptotic normality under quite general circumstances …

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares (CSS) estimator in fractional … time series models. The models are parametric and quite general. The novelty of the consistency result is that it applies … uniform convergence fails is handled using a truncation argument. The only other consistency proof for such models that …

consistency (which is a prerequisite for proving asymptotic normality) is challenging due to non-uniform convergence of the … components. In contrast, we establish consistency and asymptotic normality of parameter estimates related to the stochastic …

different forms of nonstationarity and noninvertibility. As in related settings, the proof of consistency (which is a … stochastic and deterministic components. We establish consistency and asymptotic normality under quite general circumstances …

consistency (which is a prerequisite for proving asymptotic normality) is challenging due to non-uniform convergence of the … components. In contrast, we establish consistency and asymptotic normality of parameter estimates related to the stochastic …