Efficiency improvements in inference on stationary and nonstationary fractional time series
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More about this item
Keywords
Fractional processes; efficient semiparametric estimation; adaptive estimation; nonstationary processes; series estimation; M-estimation.;All these keywords.
JEL classification:
- 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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