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Expansions for approximate maximum likelihood estimators of the fractional difference parameter

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Author Info
Offer Lieberman
Peter C. B. Phillips

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Abstract

. Copyright 2005 Royal Economic Society

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2005.00169.x
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Publisher Info
Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 8 (2005)
Issue (Month): 3 (December)
Pages: 367-379
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Handle: RePEc:ect:emjrnl:v:8:y:2005:i:3:p:367-379

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  1. Offer Lieberman & Peter C. B. Phillips, 2006. "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers 1549, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  2. Offer Lieberman & Peter C.B. Phillips, 2006. "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Cowles Foundation Discussion Papers 1586, Cowles Foundation, Yale University. [Downloadable!]
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This page was last updated on 2008-7-15.

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