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Search: subject:"Conditional Sum of Squares"
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Estimation theory
9
Schätztheorie
9
Time series analysis
9
Zeitreihenanalyse
9
fractional integration
9
Long memory
7
ARCH model
6
ARCH-Modell
6
Estimation
6
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Schätzung
6
conditional sum of squares
6
conditional sum-of-squares
6
quasi-maximum likelihood estimation
6
Heteroscedasticity
5
Heteroskedastizität
5
heteroskedasticity
5
Bootstrap approach
4
Bootstrap-Verfahren
4
long memory
4
(un)conditional heteroskedasticity
3
Gegenbauer polynomial
3
Whittle
3
Whittle estimation
3
adaptive estimation
3
conditional-sum-of-squares estimator
3
consistency
3
fractional time series
3
likelihood inference
3
nonstationary
3
uniform convergence
3
wild bootstrap
3
Asymptotic normality
2
Capital income
2
Conditional sum of squares
2
Conditional sum of squares estimation
2
Conditional sum-of-squares
2
Factor analysis
2
Factor models
2
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Free
21
Undetermined
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Book / Working Paper
20
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4
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Working Paper
10
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7
Graue Literatur
7
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7
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3
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3
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English
17
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7
Author
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Nielsen, Morten Ørregaard
11
Cavaliere, Giuseppe
8
Taylor, Robert
5
Guegan, Dominique
3
Martin, Gael M.
3
Nadarajah, K.
3
Diongue, Abdou Kâ
2
Ergemen, Yunus Emre
2
Poskitt, Donald Stephen
2
Taylor, A. M. Robert
2
Ka, Diongue Abdou
1
Mostafaei, Hamidreza
1
Poskitt, D.S.
1
Robinson, Peter
1
Robinson, Peter M
1
Sakhabakhsh, Leila
1
Taylor, A.M. Robert
1
YABE, Ryota
1
Yabe, Ryota
1
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Economics Department, Queen's University
2
HAL
2
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
1
Department of Econometrics and Business Statistics, Monash Business School
1
Graduate School of Economics, Hitotsubashi University
1
London School of Economics (LSE)
1
School of Economics and Management, University of Aarhus
1
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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Queen's Economics Department Working Paper
3
CREATES research paper
2
Journal of econometrics
2
Post-Print / HAL
2
Queen's Economics Department working paper
2
Working Papers / Economics Department, Queen's University
2
Working paper / Department of Econometrics and Business Statistics, Monash University
2
CREATES Research Papers
1
Discussion Papers / Graduate School of Economics, Hitotsubashi University
1
Discussion papers / Graduate School of Economics, Hitotsubashi University
1
Documents de travail du Centre d'Economie de la Sorbonne
1
International Journal of Energy Economics and Policy
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
LSE Research Online Documents on Economics
1
Monash Econometrics and Business Statistics Working Papers
1
STICERD - Econometrics Paper Series
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RePEc
11
ECONIS (ZBW)
10
EconStor
3
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1
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
4
Asymptotic distribution of the
conditional
sum
of
squares
estimator under moderate deviation from a unit root in MA(1)
Yabe, Ryota
-
2014
Persistent link: https://www.econbiz.de/10011350325
Saved in:
5
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
6
Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.
;
Nadarajah, K.
;
Poskitt, Donald Stephen
-
2018
Persistent link: https://www.econbiz.de/10012583573
Saved in:
7
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2017
conditional and unconditional heteroskedasticity of unknown form. Although the standard
conditional
sum-of-squares
(CSS) estimator …
Persistent link: https://www.econbiz.de/10011939441
Saved in:
8
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2017
conditional and unconditional heteroskedasticity of unknown form. Although the standard
conditional
sum-of-squares
(CSS) estimator …
Persistent link: https://www.econbiz.de/10011756074
Saved in:
9
Quasi-maximum likelihood estimation of heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
In a recent paper Hualde and Robinson (2011) establish consistency and asymptotic normality for
conditional
sum-of-squares
…
Persistent link: https://www.econbiz.de/10011380815
Saved in:
10
Asymptotic Distribution of the
Conditional
Sum
of
Squares
Estimator Under Moderate Deviation From a Unit Root in MA(1)
YABE, Ryota
-
Graduate School of Economics, Hitotsubashi University
-
2014
This paper considers the
conditional
sum
of
squares
estimator (CSSE) for the moderate deviation MA(1) process that has …
Persistent link: https://www.econbiz.de/10011095176
Saved in:
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