Estimation of mis-specified long memory models
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- Willa Chen & Rohit Deo, 2005. "Estimation of mis-specified long memory models," Econometrics 0501004, University Library of Munich, Germany.
References listed on IDEAS
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Citations
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Cited by:
- Deo, Rohit & Hurvich, Clifford & Lu, Yi, 2006.
"Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 29-58.
- Rohit Deo & Clifford Hurvich & Yi Lu, 2005. "Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment," Econometrics 0501002, University Library of Munich, Germany.
- Kanchana Nadarajah & Gael M Martin & Donald S Poskitt, 2019. "Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach," Monash Econometrics and Business Statistics Working Papers 7/19, Monash University, Department of Econometrics and Business Statistics.
- Martin, Gael M. & Nadarajah, K. & Poskitt, D.S., 2020.
"Issues in the estimation of mis-specified models of fractionally integrated processes,"
Journal of Econometrics, Elsevier, vol. 215(2), pages 559-573.
- K. Nadarajah & Gael M. Martin & D.S. Poskitt, 2014. "Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 18/14, Monash University, Department of Econometrics and Business Statistics.
- Gael M Martin & K. Nadarajah & Donald S Poskitt, 2018. "Issues in the estimation of mis-specified models of fractionally integrated processes," Monash Econometrics and Business Statistics Working Papers 18/18, Monash University, Department of Econometrics and Business Statistics.
- Vance L. Martin & Andrew R. Tremayne & Robert C. Jung, 2014. "Efficient Method Of Moments Estimators For Integer Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 491-516, November.
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More about this item
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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