Search Results | Publications

You searched for:

Keyword: long-range dependence;

12 results found.

Econometrics Paper

Gaussian Estimation of Parametric Spectral Density with Unknown Pole

Liudas Giraitis, Javier Hidalgo and Peter M Robinson

We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency w. The case of unknown w, especially w = 0, is standard in the long memory literature. When w is unknown...Read more...

August 2001

Econometrics Paper

Narrow-Band Analysis of Nonstationary Processes

D Marinucci and Peter M Robinson

The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically s...Read more...

July 2001

Econometrics Paper

Parametric Estimation under Long-Range Dependence

Liudas Giraitis and Peter M Robinson

Parametric estimation is discussed in a variety of models exhibiting long-range dependence....Read more...

May 2001

Econometrics Paper

Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in 'Journal of the American Statistical Association', 95, (2000), pp.1229-1243.)

Peter M Robinson and Carlos Velasco

Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the...Read more...

May 2000

Econometrics Paper

Nonparametric Test for Causality with Long-Range Dependence - (Now published in 'Econometrica', 68, (2000) pp.1465-1490.

Javier Hidalgo

This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against co...Read more...

April 2000

Econometrics Paper

A Model for Long Memory Conditional Heteroscedasticity - (Now published in 'Annals of Applied Probability', 10 (2000), pp.1002-1024.)

Liudas Giraitis, Peter M Robinson and Donatas Surgailis

Econometrics Paper

Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations

D Marinucci

Band spectrum regression is considered for cointegrated time series with long memory innovations. The estimates we advocate are shown to be consistent when cointegrating relationships among stationary variables are inves...Read more...

July 1998

Econometrics Paper

Alternative Forms of Fractional Brownian Motion - (Now published in 'Journal of Statistical Planning and Inference', 80 (1999), pp.111-122.)

D Marinucci and Peter M Robinson

It is pointed out that two contradictory definitions of fractional Brownian motion are well established, one prevailing in the probabilistic literature, the other in the econometric literature. Each is associated with a ...Read more...

July 1998

Econometrics Paper

Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in 'Econometrica', 66 (1998), pp.1163-1182.)

Peter M Robinson

In a number of econometric models, rules of large-sample inference require a consistent estimate of f(0), where f (?) is the spectral density matrix of yt = ut?xt, for covariance stationary vectors ut, xt. Typically yt i...Read more...

October 1997

Econometrics Paper

Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.)

Peter M Robinson

A central limit theorem is given for certain weighted sums of a covariance stationary process, assuming it is linear in martingale differences, but without any restriction on its spectrum. We apply the result to kernel n...Read more...

September 1997

Econometrics Paper

Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in 'Journal of Time Series Analysis', 18 (1997), pp.49-60.)

Liudas Giraitis, Peter M Robinson and Alexander Samarov

There exist several estimators of the memory parameter in long-memory time series models with mean µ and the spectrum specified only locally near zero frequency. In this paper we give a lower bound for the rate of conver...Read more...

February 1997

Econometrics Paper

Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)

Javier Hidalgo and Peter M Robinson

A general limit theorem is established for time series regression estimates which include generalized least squares, in the presence of long range dependence in both errors and stochastic regressors. The setting and resu...Read more...

January 1997