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ARCH (∞) models and long memory properties
Giraitis, Liudas; Leipus, Remigijus; Surgailis, Donatas - In: Handbook of financial time series, (pp. 71-84). 2009
Persistent link: https://www.econbiz.de/10003833780
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Time series with roots on or near the unit circle
Chan, Ngai Hang - In: Handbook of financial time series, (pp. 695-707). 2009
Persistent link: https://www.econbiz.de/10003834204
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Estimation and inference in ARCH models in the presence of outliers
Gregory, Allan W.; Reeves, Jonathan J. - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 547-569
Persistent link: https://www.econbiz.de/10008665738
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Unit root inference in panel data models where the time-series dimension is fixed : a comparison of different tests
Madsen, Edith - In: The econometrics journal 13 (2010) 1, pp. 63-94
Persistent link: https://www.econbiz.de/10003975648
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Special issue on panel data econometrics
Baltagi, Badi H. (contributor) - 2011
Persistent link: https://www.econbiz.de/10008859125
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Damped trend exponential smoothing : a modelling viewpoint
McKenzie, Eddie; Gardner, Everette S. - In: International journal of forecasting 26 (2010) 4, pp. 661-665
Persistent link: https://www.econbiz.de/10008806567
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Consistent OLS estimation of AR(1) dynamic panel data models with short time series
Hayakawa, Kazuhiko - In: Applied economics letters 14 (2007) 13/15, pp. 1141-1145
Persistent link: https://www.econbiz.de/10003606924
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Trend estimation and de-trending
Pollock, Stephen - In: Optimisation, econometric and financial analysis, (pp. 143-166). 2007
Persistent link: https://www.econbiz.de/10003544753
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On parameter estimation for locally stationary long-memory processes
Beran, Jan - 2007
We consider parameter estimation for time-dependent locally stationary long-memory processes. The asymptotic distribution of an estimator based on the local infinite autoregressive representation is derived, and asymptotic formulas for the mean squared error of the estimator, and the...
Persistent link: https://www.econbiz.de/10003876739
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On the choice of the unit period in time series models
Fulekey, Peter - 2011
Persistent link: https://www.econbiz.de/10009377478