Local Polynomial Whittle Estimation of Long-range Dependence
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- Robinson, Peter M. & Henry, Marc, 2003.
"Higher-order kernel semiparametric M-estimation of long memory,"
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More about this item
KeywordsAsymptotic bias; asymptotic normality; bias reduction; long memory; minimax rate; optimal bandwidth; Whittle likelihood;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-12-04 (All new papers)
- NEP-ECM-2001-12-04 (Econometrics)
- NEP-ETS-2001-12-04 (Econometric Time Series)
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