Search Results - subject:"Conditional sum of squares estimation"

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 the parameter of the MA(1) with the distance between the parameter and unity being larger than O(T -1). We show that the asymptotic distribution of the CSSE is normal, even...

Persistent link: https://www.econbiz.de/10011095176

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

Conditional-sum-of-squares estimation of models for stationary time series with long memory

Robinson, Peter - London School of Economics (LSE) - 2006

Employing recent results of Robinson (2005) we consider the asymptotic properties of conditional-sum-of-squares (CSS) estimates of parametric models for stationary time series with long memory. CSS estimation has been considered as a rival to Gaussian maximum likelihood and Whittle estimation of...

Persistent link: https://www.econbiz.de/10010745068

Conditional-Sum-of-Squares Estimation ofModels for Stationary Time Series with Long Memory

Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2006

Conditional-Sum-of-Squares Estimation of Models for Stationary Time Series with Long Memory P …: Long memory, conditional-sum-of-squares estimation, central limit theorem, almost sure convergence …

Persistent link: https://www.econbiz.de/10005670797