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Parametric Estimation under Long-Range Dependence

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  • Liudas Giraitis
  • Peter M Robinson

Abstract

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

Suggested Citation

  • Liudas Giraitis & Peter M Robinson, 2001. "Parametric Estimation under Long-Range Dependence," STICERD - Econometrics Paper Series 416, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    • Handle: RePEc:cep:stiecm:416
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    File URL: https://sticerd.lse.ac.uk/dps/em/em416.pdf
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    References listed on IDEAS

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    1. Javier Hidalgo & Peter M Robinson, 1997. "Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)," STICERD - Econometrics Paper Series 318, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    4. Cheung, Yin-Wong & Diebold, Francis X., 1994. "On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean," Journal of Econometrics, Elsevier, vol. 62(2), pages 301-316, June.
    5. Arteche, Josu & Robinson, Peter M., 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics 2241, London School of Economics and Political Science, LSE Library.
    6. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606.
    7. Giraitis, Liudas & Robinson, Peter M. & Surgailis, Donatas, 2000. "A model for long memory conditional heteroscedasticity," LSE Research Online Documents on Economics 299, London School of Economics and Political Science, LSE Library.
    8. Robinson, P. M., 1978. "Alternative models for stationary stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 8(2), pages 141-152, December.
    9. Giraitis, Liudas & Koul, Hira, 1997. "Estimation of the dependence parameter in linear regression with long-range-dependent errors," Stochastic Processes and their Applications, Elsevier, vol. 71(2), pages 207-224, November.
    10. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
    11. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    12. Giraitis, Liudas & Koul, Hira L. & Surgailis, Donatas, 1996. "Asymptotic normality of regression estimators with long memory errors," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 317-335, September.
    13. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
    14. Koul, Hira L., 1992. "M-estimators in linear models with long range dependent errors," Statistics & Probability Letters, Elsevier, vol. 14(2), pages 153-164, May.
    15. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(1), pages 3-22, February.
    16. Heyde, C. C. & Gay, R., 1993. "Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 45(1), pages 169-182, March.
    17. Giraitis, Liudas & Robinson, Peter & Surgailis, Donatas, 2000. "A model for long memory conditional heteroscedasticity," LSE Research Online Documents on Economics 2103, London School of Economics and Political Science, LSE Library.
    18. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590.
    19. Hannan, E. J., 1979. "The central limit theorem for time series regression," Stochastic Processes and their Applications, Elsevier, vol. 9(3), pages 281-289, December.
    20. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Claudio Morana & Andrea Beltratti, 2006. "Structural breaks and common factors in the volatility of the Fama-French factor portfolios," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1059-1073.
    2. Nuno Cassola & Claudio Morana, 2006. "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 513-528.

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