Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
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 |
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