conditional and unconditional heteroskedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator …

conditional and unconditional heteroskedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator …

In a recent paper Hualde and Robinson (2011) establish consistency and asymptotic normality for conditional sum-of-squares …

This paper considers the conditional sum of squares estimator (CSSE) for the moderate deviation MA(1) process that has …

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 …

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