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Parametric estimation under long-range dependence

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  • Giraitis, Liudas
  • Robinson, Peter M.

Abstract

Parametric estimation is discussed in a variety of models exhibiting longrange dependence

Suggested Citation

  • Giraitis, Liudas & Robinson, Peter M., 2001. "Parametric estimation under long-range dependence," LSE Research Online Documents on Economics 2227, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:2227
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    File URL: http://eprints.lse.ac.uk/2227/
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    References listed on IDEAS

    as
    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. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606.
    3. 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.
    4. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. Robinson, P. M., 1978. "Alternative models for stationary stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 8(2), pages 141-152, December.
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    Cited by:

    1. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
    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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    More about this item

    Keywords

    Parametric estimation; long-range dependence;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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