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~subject:"Estimation theory"
~type_genre:"Graue Literatur"
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Estimation theory
Time series analysis
154
Zeitreihenanalyse
154
Theorie
110
Theory
110
long memory
76
Schätzung
63
Estimation
62
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56
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fractional integration
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persistence
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Sibbertsen, Philipp
12
Leschinski, Christian
5
Martin, Gael M.
4
Poskitt, Donald Stephen
4
Beran, Jan
3
Iacone, Fabrizio
3
Nadarajah, K.
3
Phillips, Peter C. B.
3
Baruník, Jozef
2
Carnero, M. Angeles
2
Feng, Yuanhua
2
Koopman, Siem Jan
2
Kruse, Robinson
2
Krämer, Walter
2
Li, Jia
2
Nielsen, Morten Ørregaard
2
Ooms, Marius
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Shi, Shuping
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Taylor, Robert
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Venetis, Ioannis
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Biørn, Erik
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Busch, Marie
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Hualde, Javier
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Jensen, Mark J.
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Kleiber, Christian
1
Kraicova, Lucie
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Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
8
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
6
Working paper / Department of Econometrics and Business Statistics, Monash University
4
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Discussion papers / Courant Research Centre "Poverty, Equity and Growth in Developing and Transition Countries: Statistical Methods and Empirical Analysis"
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ECONIS (ZBW)
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1
Estimation and testing in a perturbed multivariate long
memory
framework
Less, Vivien
;
Sibbertsen, Philipp
-
2022
generalised by an additional constant to capture the perturbation given in the long
memory
process. Explicitly addressing the … long
memory
under a perturbed fractional framework. The test statistic is based on the weighted sum of the partial …
Persistent link: https://www.econbiz.de/10014247836
Saved in:
2
Weak identification of long
memory
with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013326614
Saved in:
3
Weak identification of long
memory
with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542193
Saved in:
4
Parametric estimation of long
memory
in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
5
An extended exponential SEMIFAR model with application in R
Letmathe, Sebastian
;
Beran, Jan
;
Feng, Yuanhua
-
2021
Persistent link: https://www.econbiz.de/10012628648
Saved in:
6
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
7
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2020
known in the literature that long
memory
and level breaks can be mistaken for one another, with unmodelled level breaks …
Persistent link: https://www.econbiz.de/10012243070
Saved in:
8
A multivariate test against spurious long
memory
Sibbertsen, Philipp
;
Leschinski, Christian
;
Holzhausen, …
-
2015
-
This version: March 3,2015
This paper provides a multivariate score-type test to distinguish between true and spurious long
memory
. The test is …
Persistent link: https://www.econbiz.de/10010493583
Saved in:
9
Robust multivariate local whittle estimation and spurious fractional cointegration
Becker, Janis
;
Leschinski, Christian
;
Sibbertsen, Philipp
-
2019
This paper derives a multivariate local Whittle estimator for the
memory
parameter of a possibly long
memory
process …
Persistent link: https://www.econbiz.de/10012105358
Saved in:
10
Narrow-band weighted nonlinear least squares estimation of unbalanced cointegration systems
Dumitrescu, Elena-Ivona
;
Truchis, Gilles de
-
2019
Persistent link: https://www.econbiz.de/10012241999
Saved in:
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