Adaptive estimation of the lag of a long-memory process
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Other versions of this item:
- Marc Hallin & Abdeslam Serroukh, 1998. "Adaptive Estimation of the Lag of a Long–memory Process," Statistical Inference for Stochastic Processes, Springer, vol. 1(2), pages 111-129, May.
References listed on IDEAS
- Marc Hallin & Madan Lal Puri, 1994. "Aligned rank tests for linear models with autocorrelated errors," ULB Institutional Repository 2013/2045, ULB -- Universite Libre de Bruxelles.
- Swensen, Anders Rygh, 1985. "The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend," Journal of Multivariate Analysis, Elsevier, vol. 16(1), pages 54-70, February.
- Rudolf Beran, 1976. "Adaptive estimates for autoregressive processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 28(1), pages 77-89, December.
- Marc Hallin & Bas Werker, 1998.
"Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests,"
ULB Institutional Repository
2013/2221, ULB -- Universite Libre de Bruxelles.
- Marc Hallin & Bas Werker, 1998. "Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests," ULB Institutional Repository 2013/2219, ULB -- Universite Libre de Bruxelles.
- Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1994.
"Adaptive estimation in time-series models,"
1994-88, Tilburg University, Center for Economic Research.
- Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1997. "Adaptive estimation in time-series models," Other publications TiSEM aa253902-af93-4e1e-b974-2, Tilburg University, School of Economics and Management.
- Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994. "Adaptive Estimation in Time Series Models," Papers 9488, Tilburg - Center for Economic Research.
- Hallin, M. & Puri, M. L., 1994.
"Aligned Rank Tests for Linear Models with Autocorrelated Error Terms,"
Journal of Multivariate Analysis,
Elsevier, vol. 50(2), pages 175-237, August.
- Hallin, M. & Puri, L.M., 1992. "Aligned Rank tests for Linear Models with Autocorrelated Error Terms," Papers 9202, Universite Libre de Bruxelles - C.E.M.E..
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Robinson, Peter, 2004. "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics 2126, London School of Economics and Political Science, LSE Library.
- Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series 480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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