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Keyword: long-range estimation;
5 results found.
An Alternative Bootstrap to Moving Blocks for Time Series Regression Models
The purpose of this paper is to introduce and examine two alternative, although similar, approaches to the Moving Blocks and subsampling Bootstraps to bootstrapping the estimator of the parameters for time series regress...Read more...
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...
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...
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...