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Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases

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  • D. Poskitt

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File URL: http://hdl.handle.net/10.1007/s10463-006-0074-4
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Bibliographic Info

Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

Volume (Year): 59 (2007)
Issue (Month): 4 (December)
Pages: 697-725

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Handle: RePEc:spr:aistmt:v:59:y:2007:i:4:p:697-725

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Web page: http://www.springerlink.com/link.asp?id=102845

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Related research

Keywords: Autoregression; Autoregressive approximation; Fractional process; Non-invertibility; Order selection; Asymptotic efficiency;

References

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  1. Poskitt, Don S, 2000. "Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 77-90, January.
  2. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
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Citations

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Cited by:
  1. D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2014. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 10/14, Monash University, Department of Econometrics and Business Statistics.
  2. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
  3. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
  4. S. D. Grose & D. S. Poskitt, 2006. "The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers 15/06, Monash University, Department of Econometrics and Business Statistics.
  5. D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2013. "Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 25/13, Monash University, Department of Econometrics and Business Statistics.
  6. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.
  7. Hassler, Uwe, 2012. "Impulse responses of antipersistent processes," Economics Letters, Elsevier, vol. 116(3), pages 454-456.
  8. Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2013. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 29/13, Monash University, Department of Econometrics and Business Statistics.
  9. Hwang, Eunju & Shin, Dong Wan, 2014. "Infinite-order, long-memory heterogeneous autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 339-358.
  10. Wang, Shin-Huei & Vasilakis, Chrysovalantis, 2013. "Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points," Economics Letters, Elsevier, vol. 118(2), pages 389-392.

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