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Citations for "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence"

by Donald W.K. Andrews & Yixiao Sun

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  1. Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2012. "Local polynomial Whittle estimation of perturbed fractional processes," Journal of Econometrics, Elsevier, Elsevier, vol. 167(2), pages 426-447.
  2. Arteche González, Jesús María, 2005. "Semiparametric estimation in perturbed long memory series," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) 2005-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  3. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2011. "An I(d) model with trend and cycles," Journal of Econometrics, Elsevier, Elsevier, vol. 163(2), pages 186-199, August.
  4. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus.
  5. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 116-131.
  6. Henryk Gurgul & Tomasz Wojtowicz, 2006. "Long-run properties of trading volume and volatility of equities listed in DJIA index," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 29-56.
  7. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, Elsevier, vol. 162(2), pages 240-247, June.
  8. Frank S. Nielsen, 2011. "Local Whittle estimation of multi‐variate fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 317-335, 05.
  9. D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 8/12, Monash University, Department of Econometrics and Business Statistics.
  10. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2006/502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  11. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers, Queen's University, Department of Economics 1101, Queen's University, Department of Economics.
  12. Morten Ørregaard Nielsen & Per Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Working Papers, Queen's University, Department of Economics 1189, Queen's University, Department of Economics.
  13. Claudio Morana, 2006. "Multivariate modelling of long memory processes with common components," ICER Working Papers, ICER - International Centre for Economic Research 40-2006, ICER - International Centre for Economic Research.
  14. Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers, Queen's University, Department of Economics 1171, Queen's University, Department of Economics.
  15. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, Elsevier, vol. 147(1), pages 72-83, November.
  16. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 492-511, August.
  17. Daniel J. Nordman & Philipp Sibbertsen & Soumendra N. Lahiri, 2007. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 576-599, 07.
  18. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
  19. Sun, Yixiao & Phillips, Peter C. B., 2003. "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, Elsevier, vol. 115(2), pages 355-389, August.
  20. Yixiao Sun, 2005. "Adaptive Estimation of the Regression Discontinuity Model," Econometrics, EconWPA 0506003, EconWPA.
  21. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameter for nonlinear time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 6813, London School of Economics and Political Science, LSE Library.
  22. D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2012. "Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 9/12, Monash University, Department of Econometrics and Business Statistics.
  23. Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, Elsevier, vol. 151(2), pages 159-177, August.
  24. Mielniczuk, J. & Wojdyllo, P., 2007. "Estimation of Hurst exponent revisited," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(9), pages 4510-4525, May.
  25. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /06/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  26. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus.
  27. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(3), pages 525-539, April.
  28. Baillie, Richard T. & Kapetanios, George, 2008. "Nonlinear models for strongly dependent processes with financial applications," Journal of Econometrics, Elsevier, Elsevier, vol. 147(1), pages 60-71, November.
  29. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 539-578.
  30. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, Elsevier, vol. 141(2), pages 1353-1384, December.
  31. Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, School of Economics and Management, University of Aarhus.
  32. Javier Hualde & Peter M. Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 4537, London School of Economics and Political Science, LSE Library.