Search Results - subject:"Conditional sum of squares"

Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes

Nadarajah, K.; Martin, Gael M.; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2014

domain maximum likelihood, Whittle estimation, time domain maximum likelihood and conditional sum of squares. We show that … pseudo-true value of the long memory parameter, with conditional sum of squares being the most accurate estimator overall and …

Persistent link: https://www.econbiz.de/10010958942

Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models

Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2014

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is …

Persistent link: https://www.econbiz.de/10010935035

Quasi-Maximum Likelihood Estimation of Heteroskedastic Fractional Time Series Models

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - Economics Department, Queen's University - 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/10011147855

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/10010360982

Issues in the estimation of mMis-specified models of fractionally integrated processes

Nadarajah, K.; Martin, Gael M.; Poskitt, Donald Stephen - 2014

Persistent link: https://www.econbiz.de/10011780803

Using SARFIMA Model to Study and Predict the Iran’s Oil Supply

Mostafaei, Hamidreza; Sakhabakhsh, Leila - In: International Journal of Energy Economics and Policy 2 (2012) 1, pp. 41-49

with SARIMA and SARFIMA models, and estimate the parameters using conditional sum of squares method. The results indicate …

Persistent link: https://www.econbiz.de/10009391456

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

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 198 (2017) 1, pp. 165-188

Persistent link: https://www.econbiz.de/10011818374

Asymptotics for the conditional-sum-of-squares estimator in fractional time series models

Nielsen, Morten Ørregaard - 2011

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares (CSS) estimator in fractional …

Persistent link: https://www.econbiz.de/10010290413

Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models

Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2011

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is …

Persistent link: https://www.econbiz.de/10008800763

Estimation of k-factor GIGARCH process : a Monte Carlo study.

Diongue, Abdou Kâ; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

In this paper, we discuss the parameter estimation for a k-factor generalized long memory process with conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of...

Persistent link: https://www.econbiz.de/10005510593