The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence

Citations

Cited by:

1. Morten Orregaard Nielsen, 2004. "Efficient inference in multivariate fractionally integrated time series models," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 63-97, June.
   • Morten Oerregaard Nielsen, "undated". "Efficient Inference in Multivariate Fractionally Integrated Time Series Models," Economics Working Papers 2002-6, Department of Economics and Business Economics, Aarhus University.
2. Abry, Patrice & Didier, Gustavo, 2018. "Wavelet eigenvalue regression for n-variate operator fractional Brownian motion," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 75-104.
3. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017. "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
   • Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016. "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper 1324, Economics Department, Queen's University.
   • Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2017. "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," CREATES Research Papers 2017-02, Department of Economics and Business Economics, Aarhus University.
4. Peter M Robinson & Carlos Velasco, 2000. "Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)," STICERD - Econometrics Paper Series 391, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
5. Morten Ørregaard Nielsen, 2015. "Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 154-188, March.
   • Morten Ø. Nielsen, 2011. "Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models," Working Paper 1259, Economics Department, Queen's University.
   • Morten Ørregaard Nielsen, 2014. "Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models," CREATES Research Papers 2014-34, Department of Economics and Business Economics, Aarhus University.
6. Patrice Abry & Gustavo Didier & Hui Li, 2019. "Two-step wavelet-based estimation for Gaussian mixed fractional processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 157-185, July.
7. Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2017. "Realized stochastic volatility with general asymmetry and long memory," Journal of Econometrics, Elsevier, vol. 199(2), pages 202-212.
   • Manabu Asai & Chia-Lin Chang & Michael McAleer, 2017. "Realized Stochastic Volatility with General Asymmetry and Long Memory," Tinbergen Institute Discussion Papers 17-038/III, Tinbergen Institute.
   • Asai, M. & Chang, C-L. & McAleer, M.J., 2017. "Realized Stochastic Volatility with General Asymmetry and Long Memory," Econometric Institute Research Papers TI 2017-038/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
8. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2015. "The Hours Worked–Productivity Puzzle: Identification In A Fractional Integration Setting," Macroeconomic Dynamics, Cambridge University Press, vol. 19(7), pages 1593-1621, October.
   • Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "Hours worked - Productivity puzzle: identification in fractional integration settings," Working Papers 2072/211796, Universitat Rovira i Virgili, Department of Economics.
9. Ana Pérez & Esther Ruiz, 2002. "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
   • Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS ds010101, Universidad Carlos III de Madrid. Departamento de Estadística.
10. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2018. "Monetary policy shocks, inflation persistence, and long memory," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 117-127.
11. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    • Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
12. Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2016. "Testing Unemployment Theories: A Multivariate Long Memory Approach," Journal of Applied Economics, Taylor & Francis Journals, vol. 19(1), pages 95-112, May.
    • Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2016. "Testing unemployment theories: A multivariate long memory approach," Journal of Applied Economics, Universidad del CEMA, vol. 19, pages 95-112, May.
    • Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2013. "Testing Unemployment Theories: A Multivariate Long Memory Approach," Discussion Papers of DIW Berlin 1345, DIW Berlin, German Institute for Economic Research.
    • Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2014. "Testing Unemployment Theories: A Multivariate Long Memory Approach," CESifo Working Paper Series 4570, CESifo.
13. Henghsiu Tsai & Heiko Rachinger & Edward M.H. Lin, 2015. "Inference of Seasonal Long-memory Time Series with Measurement Error," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 137-154, March.
14. Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006. "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July.
    • Sijing Zong & Cornelis A. Los & Nyonyo Kyaw, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0411013, University Library of Munich, Germany.
    • Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0409048, University Library of Munich, Germany.
15. Martin, Vance L. & Wilkins, Nigel P., 1999. "Indirect estimation of ARFIMA and VARFIMA models," Journal of Econometrics, Elsevier, vol. 93(1), pages 149-175, November.
    • Martin, V.L. & Wilkins, N.P., 1997. "Indirect Estimation of Arfima and Varfima Models," Department of Economics - Working Papers Series 547, The University of Melbourne.
16. Yuliya Lovcha & Alejandro Perez-Laborda, 2017. "Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market," Empirical Economics, Springer, vol. 53(2), pages 405-422, September.
    • Lovcha, Yuliya & Pérez Laborda, Àlex, 2016. "Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market," Working Papers 2072/261538, Universitat Rovira i Virgili, Department of Economics.
17. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
    • Mirko Abbritti & Luis Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2012. "Term Structure Persistence," Faculty Working Papers 26/12, School of Economics and Business Administration, University of Navarra.
18. Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "A fractionally integrated approach to monetary policy and inflation dynamics," Working Papers 2072/211795, Universitat Rovira i Virgili, Department of Economics.
19. Rebecca J. Sela & Clifford M. Hurvich, 2009. "Computationally efficient methods for two multivariate fractionally integrated models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 631-651, November.
20. Stefanos Kechagias & Vladas Pipiras, 2020. "Modeling bivariate long‐range dependence with general phase," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 268-292, March.
21. Pai, Jeffrey & Ravishanker, Nalini, 2009. "A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1282-1289, May.
22. Ravishanker, Nalini & Ray, Bonnie K., 2002. "Bayesian prediction for vector ARFIMA processes," International Journal of Forecasting, Elsevier, vol. 18(2), pages 207-214.
23. Hongchang Hu & Weifu Hu & Xinxin Yu, 2021. "Pseudo-maximum likelihood estimators in linear regression models with fractional time series," Statistical Papers, Springer, vol. 62(2), pages 639-659, April.
24. Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
25. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2022. "Long-memory and volatility spillovers across petroleum futures," Energy, Elsevier, vol. 243(C).
26. Pai, Jeffrey & Ravishanker, Nalini, 2009. "Maximum likelihood estimation in vector long memory processes via EM algorithm," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4133-4142, October.
27. Robinson, Peter M. & Velasco, Carlos, 2000. "Whittle pseudo-maximum likelihood estimation for nonstationary time series," LSE Research Online Documents on Economics 2273, London School of Economics and Political Science, LSE Library.
28. Pai, Jeffrey & Ravishanker, Nalini, 2015. "Fast approximate likelihood evaluation for stable VARFIMA processes," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 160-168.