Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter
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References listed on IDEAS
- Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-485, March.
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KeywordsARFIMA; Edgeworth expansion; fractional differencing; pivotal statistic;
- 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-2001-11-27 (All new papers)
- NEP-ECM-2001-11-27 (Econometrics)
- NEP-ENT-2001-11-27 (Entrepreneurship)
- NEP-ETS-2001-11-27 (Econometric Time Series)
- NEP-NET-2001-11-27 (Network Economics)
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