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Nonlinear time series with long memory : a model for stochastic volatility

Robinson, Peter M.; Zaffaroni, Paolo - 1997

Persistent link: https://www.econbiz.de/10000954585

Modelling nonlinearity and long memory in time series

Robinson, Peter M.; Zaffaroni, Paolo - 1997

Persistent link: https://www.econbiz.de/10000955132

Pseudo-maximum likelihood estimation of ARCH(∞) models

Robinson, Peter M. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003164285

Studentization in edgeworth expansions for estimates of semiparametric index models

Nishiyama, Y.; Robinson, Peter M. - 1999

Persistent link: https://www.econbiz.de/10001429067

Edgeworth expansions for semiparametric averaged derivatives

Nishiyama, Y.; Robinson, Peter M. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 4, pp. 931-979

Persistent link: https://www.econbiz.de/10001499201

Nonlinear time series with long memory : a model for stochastics volatility

Robinson, Peter M.; Zaffaroni, Paolo - 1996

Persistent link: https://www.econbiz.de/10000985327

Studentization in edgeworth expansions for estimates of semiparametric index models

Nishiyama, Y.; Robinson, Peter M. - In: Nonlinear statistical modeling : proceedings of the …, (pp. 197-240). 2000

Persistent link: https://www.econbiz.de/10001586853

The bootstrap and the Edgeworth correction for semiparametric averaged derivatives

Nishiyama, Y.; Robinson, Peter - Centre for Microdata Methods and Practice (CEMMAP) - 2004

In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric component which are asymptotically normal and converge at parametric rate. However, smoothing can inflate the error in the normal approximation, so that refined approximations are of...

Persistent link: https://www.econbiz.de/10005547930