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Semiparametric estimation from time series with long-range dependence

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  • Cheng, Bing
  • Robinson, P. M.

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  • Cheng, Bing & Robinson, P. M., 1994. "Semiparametric estimation from time series with long-range dependence," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 335-353.
    • Handle: RePEc:eee:econom:v:64:y:1994:i:1-2:p:335-353
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    Cited by:

    1. Lihong Wang & Haiyan Cai, 2010. "Wavelet change‐point estimation for long memory non‐parametric random design models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 86-97, March.
    2. Masry, Elias & Mielniczuk, Jan, 1999. "Local linear regression estimation for time series with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 82(2), pages 173-193, August.
    3. Atchadé, Yves F. & Cattaneo, Matias D., 2014. "A martingale decomposition for quadratic forms of Markov chains (with applications)," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 646-677.
    4. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    5. Nishiyama, Y., 2004. "Minimum normal approximation error bandwidth selection for averaged derivatives," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 53-61.

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