Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter
Year of publication: |
2001-07
|
---|---|
Authors: | Lieberman, Offer ; Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | ARFIMA | Edgeworth expansion | fractional differencing | pivotal statistic |
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