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Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
Lieberman, Offer; Phillips, Peter C. B. - 2004
This paper derives second-order expansions for the distributions of the Whittle and profile plug-in maximum likelihood estimators of the fractional difference parameter in the ARFIMA(0,d,0) with unknown mean and variance. Both estimators are shown to be second-order pivotal. This extends earlier...
Persistent link: https://www.econbiz.de/10014070489
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Expansions for approximate maximum likelihood estimators of the fractional difference
Lieberman, Offer; Phillips, Peter C. B. - 2004
Persistent link: https://www.econbiz.de/10002148145
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Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
Meitz, Mika; Saikkonen, Pentti - 2012
/or noninvertible ARMA models and all-pass models, our estimation theory does allow for Gaussian innovations. We give conditions under …
Persistent link: https://www.econbiz.de/10009621934
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The exact maximum likelihood estimation of ARFIMA processes and model selection criteria : a Monte Carlo study
Lardic, Sandrine (contributor); Mignon, Valérie (contributor) - In: Economics bulletin : EB (2004)
Persistent link: https://www.econbiz.de/10003072868
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On plug-in estimation of long memory models
Lieberman, Offer - In: Econometric theory 21 (2005) 2, pp. 431-454
Persistent link: https://www.econbiz.de/10002740760
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The exact maximum likelihood estimation of ARFIMA processes and model selection criteria : a Monte Carlo study
Lardic, Sandrine (contributor); Mignon, Valérie (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001760400
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Efficient likelihood inference in nonstationary univariate models
Nielsen, Morten Ørregaard - In: Econometric theory 20 (2004) 1, pp. 116-146
Persistent link: https://www.econbiz.de/10001904824
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An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
Jensen, Mark J. - In: Journal of economic dynamics & control 24 (2000) 3, pp. 361-387
Persistent link: https://www.econbiz.de/10001433033
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Empirical characteristic function in time series estimation
Knight, John L.; Yu, Jun - 1999
Persistent link: https://www.econbiz.de/10001435272
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Empirical characteristic function in time series estimation
Knight, John L.; Yu, Jun - In: Econometric theory 18 (2002) 3, pp. 691-721
Persistent link: https://www.econbiz.de/10001673452