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Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - HAL - 2011

This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals...

Persistent link: https://www.econbiz.de/10010821058

ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas; … - In: Econometric Theory 30 (2014) 01, pp. 252-284

Persistent link: https://www.econbiz.de/10010734977

An I() model with trend and cycles

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - HAL - 2011

Persistent link: https://www.econbiz.de/10010898920

Two estimators of the long-run variance: Beyond short memory

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of Econometrics 150 (2009) 1, pp. 56-70

This paper deals with the estimation of the long-run variance of a stationary sequence. We extend the usual Bartlett-kernel heteroskedasticity and autocorrelation consistent (HAC) estimator to deal with long memory and antipersistence. We then derive asymptotic expansions for this estimator and...

Persistent link: https://www.econbiz.de/10005022964

An I(d) Model with Trend and Cycles

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - Rimini Centre for Economic Analysis (RCEA) - 2010

Persistent link: https://www.econbiz.de/10008504405

Nonstationarity-extended local Whittle estimation

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of Econometrics 141 (2007) 2, pp. 1353-1384

Persistent link: https://www.econbiz.de/10005239053

Nonstationarity-extended local Whittle estimation

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 141 (2007) 2, pp. 1353-1384

Persistent link: https://www.econbiz.de/10007859750

Two estimators of the long-run variance: Beyond short memory

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 150 (2009) 1, pp. 56-70

Persistent link: https://www.econbiz.de/10008250604

An I() model with trend and cycles

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 163 (2011) 2, pp. 186-200

Persistent link: https://www.econbiz.de/10009163369

Two estimators of the long-run variance: Beyond short memory

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 150 (2009) 1, pp. 56-71

Persistent link: https://www.econbiz.de/10008896996