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Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process

Lieberman, Offer; Rousseau, Judith; Zucker, David M. - Cowles Foundation for Research in Economics, Yale University - 2002

We establish the validity of an Edgeworth expansion to the distribution of the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process. The result covers ARFIMA type models, including fractional Gaussian noise. The method of proof consists of three...

Persistent link: https://www.econbiz.de/10005087373

Penalised Maximum Likelihood Estimation for Fractional Guassian Processes

Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2001

We apply and extend Firth's (1993) modified score estimator to deal with a class of stationary Gaussian long-memory processes. Our estimator removes the first order bias of the maximum likelihood estimator. A small simulation study reveals the reduction in the bias is considerable, while it does...

Persistent link: https://www.econbiz.de/10005593251

Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-memory Gaussian Time Series

Andrews, Donald W.K.; Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2002

In this paper, we prove the validity of an Edgeworth expansion to the distribution of the Whittle maximum likelihood estimator for stationary long-memory Gaussian models with unknown parameter theta in Theta subset R^{d_{theta}} . The error of the (s-2)-order expansion is shown to be...

Persistent link: https://www.econbiz.de/10005593482

Cross-section Regression with Common Shocks

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2003

given for consistency. The asymptotic distributions of the estimators are found to be mixed normal after re-centering and …, respectively, under the null hypothesis when the conditions required for consistency of the parameter under test hold. But, the … considered. Using the general results, conditions are determined under which consistency of the LS and IV estimators holds and …

Persistent link: https://www.econbiz.de/10005762510

Adaptive Local Polynomial Whittle Estimation of Long-range Dependence

Andrews, Donald W.K.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2002

The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...

Persistent link: https://www.econbiz.de/10004990777

Local Polynomial Whittle Estimation of Long-range Dependence

Andrews, Donald W.K.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2001

Persistent link: https://www.econbiz.de/10005087380

A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2000

The widely used log-periodogram regression estimator of the long-memory parameter d proposed by Geweke and Porter-Hudak (1983) (GPH) has been criticized because of its finite-sample bias, see Agiakloglou, Newbold, and Wohar (1993). In this paper, we propose a simple bias-reduced log-periodogram...

Persistent link: https://www.econbiz.de/10005087383

Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes

Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2002

This paper studies fractional processes that may be perturbed by weakly dependent time series. The model for a perturbed fractional process has a components framework in which there may be components of both long and short memory. All commonly used estimates of the long memory parameter (such as...

Persistent link: https://www.econbiz.de/10005593344

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review

Chen, Xiaohong - Cowles Foundation for Research in Economics, Yale University - 2011

advances on inference and large sample properties of the PSE estimators, which include (1) consistency and convergence rates of …, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. …

Persistent link: https://www.econbiz.de/10009024410

Interpreting the Predictive Uncertainty of Elections

Fair, Ray C. - Cowles Foundation for Research in Economics, Yale University - 2006

This paper provides an interpretation of the uncertainty that exists at the beginning of the day of an election as to who will win. It is based on the theory that there are a number of possible conditions of nature that can exist on election day, of which one is drawn. Political betting markets...

Persistent link: https://www.econbiz.de/10005463970