Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Giuseppe Cavaliere, Morten Ørregaard Nielsen, A.M. Robert Taylor
| Year of publication: |
May 2017
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| Authors: | Cavaliere, Giuseppe ; Nielsen, Morten Ørregaard ; Taylor, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 198.2017, 1, p. 165-188
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| Subject: | Conditional/unconditional heteroskedasticity | Conditional sum-of-squares | Fractional integration | Quasi-maximum likelihood estimation | Wild bootstrap | Bootstrap-Verfahren | Bootstrap approach | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.01.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011818374