Similar Search Results - EconBiz

Inference on nonstationary time series with moving mean

Gao, Jiti; Robinson, Peter M. - 2013

Persistent link: https://www.econbiz.de/10009789503

Inference on Non-Stationary Time Series with Moving Mean

Gao, Jiti - 2013

A semi-parametric model is proposed in which a parametric filtering of a non-stationary time series, incorporating fractionally differencing with short memory correction, removes correlation but leaves a non-parametric deterministic trend. Estimates of the memory parameter and other dependence...

Persistent link: https://www.econbiz.de/10013078429

Inference on nonstationary time series with moving mean

Gao, Jiti; Robinson, Peter M. - In: Econometric theory 32 (2016) 2, pp. 431-457

Persistent link: https://www.econbiz.de/10011578494

The estimation of misspecified long memory models

Robinson, Peter M. - In: Journal of econometrics 178 (2014) 1, pp. 225-230

Persistent link: https://www.econbiz.de/10010256170

Modeling memory of economic and financial time series

Robinson, Peter M. - In: The Singapore economic review : journal of the Economic … 50 (2005) 1, pp. 2-8

Persistent link: https://www.econbiz.de/10002806100

Robust covariance matrix estimation : "HAC" estimates with long memory/antipersistence correction

Robinson, Peter M. - 2004

Persistent link: https://www.econbiz.de/10002034300

Identification, estimation and specification in a class of semiparametic time series models

Gao, Jiti - 2012

Persistent link: https://www.econbiz.de/10009565428

Identification, Estimation, and Specification in a Class of Semilinear Time Series Models

Gao, Jiti - In: The Oxford handbook of applied nonparametric and …. 2014

Persistent link: https://www.econbiz.de/10012881347

Testing of unit root and other nonstationary hypotheses in macroeconomic time series

Gil-Alaña, Luis A.; Robinson, Peter M. - 1996

Persistent link: https://www.econbiz.de/10000952843

Nonlinear time series with long memory : a model for stochastic volatility

Robinson, Peter M.; Zaffaroni, Paolo - 1997

Persistent link: https://www.econbiz.de/10000954585

1
2
3
4
5
6
7
8
9
10
Next
Last

A service of the