Adaptive Inference In Heteroskedastic Fractional Time Series Models
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Keywordsadaptive estimation; conditional sum-of-squares; fractional integration; heteroskedasticity; quasi-maximum likelihood estimation; wild bootstrap;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: 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-CTA-2017-10-22 (Contract Theory & Applications)
- NEP-ECM-2017-10-22 (Econometrics)
- NEP-ETS-2017-10-22 (Econometric Time Series)
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