Search Results - subject:"mixed normal asymptotics"

Cointegration in Fractional Systems with Unkown Integration Orders

Hualde, Javier; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2003

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be...

Persistent link: https://www.econbiz.de/10005510546

Cointegration in fractional systems with unkown integration orders

Hualde, Javier; Robinson, Peter M. - London School of Economics (LSE) - 2003

Persistent link: https://www.econbiz.de/10011126531

Cointegration in fractional systems with unknown integration orders

Robinson, Peter M.; Hualde, Javier - London School of Economics (LSE) - 2003

estimates share the same limiting distribution, having mixed normal asymptotics (yielding Wald test statistics with χ2 null …

Persistent link: https://www.econbiz.de/10011071264

Cointegration in Fractional Systems with Unknown Integration Orders

Robinson, Peter M.; Hualde, Javier - School of Economics and Business Administration, … - 2002

normal asymptotics (yielding Wald test statistics with null limit distributions), irrespective of whether the integration … least squares and Gaussian maximum likelihood estimates. The estimates share the same limiting distribution, having mixed …

Persistent link: https://www.econbiz.de/10005583105