Narrow search
Showing 1 - 10 of 101
Cover Image
Nonstationarity-extended local Whittle estimation
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of Econometrics 141 (2007) 2, pp. 1353-1384
Persistent link: https://www.econbiz.de/10005239053
Cover Image
Two estimators of the long-run variance: Beyond short memory
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of Econometrics 150 (2009) 1, pp. 56-70
This paper deals with the estimation of the long-run variance of a stationary sequence. We extend the usual Bartlett-kernel heteroskedasticity and autocorrelation consistent (HAC) estimator to deal with long memory and antipersistence. We then derive asymptotic expansions for this estimator and...
Persistent link: https://www.econbiz.de/10005022964
Cover Image
An I() model with trend and cycles
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - HAL - 2011
This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals...
Persistent link: https://www.econbiz.de/10010898920
Cover Image
An I(d) Model with Trend and Cycles
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - Rimini Centre for Economic Analysis (RCEA) - 2010
This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals...
Persistent link: https://www.econbiz.de/10008504405
Cover Image
Model-Free Estimation of Large Variance Matrices
Abadir, Karim M.; Distaso, Walter; Žikeš, Filip - Rimini Centre for Economic Analysis (RCEA) - 2010
This paper introduces a new method for estimating large variance matrices. Starting from the orthogonal decomposition of the sample variance matrix, we exploit the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues. We...
Persistent link: https://www.econbiz.de/10008504407
Cover Image
ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas; … - In: Econometric Theory 30 (2014) 01, pp. 252-284
Persistent link: https://www.econbiz.de/10010734977
Cover Image
An I() model with trend and cycles
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - HAL - 2011
This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals...
Persistent link: https://www.econbiz.de/10010821058
Cover Image
An I(d) model with trend and cycles
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of Econometrics 163 (2011) 2, pp. 186-199
This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals...
Persistent link: https://www.econbiz.de/10009143150
Cover Image
Design-free estimation of variance matrices
Abadir, Karim M.; Distaso, Walter; Žikeš, Filip - In: Journal of Econometrics 181 (2014) 2, pp. 165-180
This paper introduces a new method for estimating variance matrices. Starting from the orthogonal decomposition of the sample variance matrix, we exploit the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues. We estimate...
Persistent link: https://www.econbiz.de/10011052326
Cover Image
Testing joint hypotheses when one of the alternatives is one-sided
Abadir, Karim M.; Distaso, Walter - In: Journal of Econometrics 140 (2007) 2, pp. 695-718
Persistent link: https://www.econbiz.de/10005228936