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ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
Lieberman, Offer; Rosemarin, Roy; Rousseau, Judith - In: Econometric theory 28 (2011) 2, pp. 457-471
Persistent link: https://www.econbiz.de/10009847395
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Asymptotic theory for maximum likelihood estimation of the memory parameter in stationary Gaussian processes
Lieberman, Offer; Rosemarin, Roy; Rousseau, Judith - In: Econometric theory 28 (2012) 2, pp. 457-470
Persistent link: https://www.econbiz.de/10009520934
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Small-sample likelihood-based inference in the ARFIMA model
Lieberman, Offer; Rousseau, Judith; Zucker, David M. - In: Econometric theory 16 (2000) 2, pp. 231-248
Persistent link: https://www.econbiz.de/10001483371
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Valid Edgeworth expansion for the sample autocorrelation function under long range dependence
Lieberman, Offer; Rousseau, Judith; Zucker, David M. - In: Econometric theory 17 (2001) 1, pp. 257-275
Persistent link: https://www.econbiz.de/10001556120
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ARTICLES - Valid Edgeworth Expansion for the Sample Autocorrelation Function under Long Range Dependence
Lieberman, Offer; Rousseau, Judith; Zucker, David M. - In: Econometric theory 17 (2001) 1, pp. 257-276
Persistent link: https://www.econbiz.de/10006980327
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ARTICLES - Small-Sample Likelihood-Based Inference in the ARFIMA Model
Lieberman, Offer; Rousseau, Judith; Zucker, David M. - In: Econometric theory 16 (2000) 2, pp. 231-248
Persistent link: https://www.econbiz.de/10006984134
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On the approximation of saddlepoint expansions in statistics
Lieberman, Offer - In: Econometric theory 10 (1994) 5, pp. 900-916
Persistent link: https://www.econbiz.de/10001175052
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On plug-in estimation of long memory models
Lieberman, Offer - In: Econometric theory 21 (2005) 2, pp. 431-454
Persistent link: https://www.econbiz.de/10002740760
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Asymptotic theory for empirical similarity models
Lieberman, Offer - In: Econometric theory 26 (2010) 4, pp. 1032-1059
Persistent link: https://www.econbiz.de/10003993823
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Dynamic regression and filtered data series : a Laplace approximation to the effects of filtering in small samples
Ghysels, Eric - In: Econometric theory 12 (1996) 3, pp. 432-457
Persistent link: https://www.econbiz.de/10001207534