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Keyword: long-range estimation;
5 results found.
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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...
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...
Liudas Giraitis and Peter M Robinson
Parametric estimation is discussed in a variety of models exhibiting long-range dependence....Read more...
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...
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...