Issues in the estimation of mis-specified models of fractionally integrated processes
Gael M. Martin, K. Nadarajah, D. S. Poskitt
| Year of publication: |
2020
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|---|---|
| Authors: | Martin, Gael M. ; Nadarajah, K. ; Poskitt, Donald Stephen |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 215.2020, 2, p. 559-573
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| Subject: | ARFIMA | Frequency domain estimators | Long memory models | Mis-specified short memory dynamics | Pseudo-true parameter | Time domain estimators | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.09.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012439500