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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. Sun, Yixiao & Phillips, Peter C. B., 2003. "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 115(2), pages 355-389, August.
  2. Josu Arteche, 2006. "Semiparametric estimation in perturbed long memory series," Computing in Economics and Finance 2006 22, Society for Computational Economics.
  3. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
  4. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  5. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
  6. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus.
  7. Bouezmarni, Taoufik & Van Bellegem, Sébastien, 2009. "Nonparametric Beta Kernel Estimator for Long Memory Time Series," TSE Working Papers 09-082, Toulouse School of Economics (TSE).
  8. Claudio Morana, 2006. "Multivariate modelling of long memory processes with common components," ICER Working Papers 40-2006, ICER - International Centre for Economic Research.
  9. 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.
  10. Karim M. Abadir & Walter Distaso & Liudas Giraitis, 2010. "An I(d) Model with Trend and Cycles," Working Paper Series 18_10, The Rimini Centre for Economic Analysis.
  11. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
  12. Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers 1171, Queen's University, Department of Economics.
  13. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series /2006/502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  14. Baillie, Richard T. & Kapetanios, George, 2008. "Nonlinear models for strongly dependent processes with financial applications," Journal of Econometrics, Elsevier, vol. 147(1), pages 60-71, November.
  15. 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, vol. 131(1-2), pages 539-578.
  16. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series /2006/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  17. Morten Ørregaard Nielsen & Per Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Working Papers 1189, Queen's University, Department of Economics.
  18. 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, vol. 3, pages 29-56.
  19. Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
  20. Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2009. "Local polynomial Whittle estimation of perturbed fractional processes," Working Papers 1218, Queen's University, Department of Economics.
  21. Xiaohong Chen & Timothy Christensen, 2013. "Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation," Cowles Foundation Discussion Papers 1923R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2015.
  22. 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.
  23. Javier Hualde & Peter M. Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics 4537, London School of Economics and Political Science, LSE Library.
  24. Mielniczuk, J. & Wojdyllo, P., 2007. "Estimation of Hurst exponent revisited," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4510-4525, May.
  25. Stelios Arvanitis & Antonis Demos, . "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.
  26. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
  27. 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 8/12, Monash University, Department of Econometrics and Business Statistics.
  28. Nordman, Dan Nordman & Sibbertsen, Philipp & Lahiri, Soumendra N., 2005. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Hannover Economic Papers (HEP) dp-327, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  29. Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, vol. 151(2), pages 159-177, August.
  30. D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2013. "Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 25/13, Monash University, Department of Econometrics and Business Statistics.
  31. Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih, 2015. "Long memory and the relation between options and stock prices," Finance Research Letters, Elsevier, vol. 12(C), pages 77-91.
  32. Casas, Isabel & Gao, Jiti, 2006. "Econometric estimation in long-range dependent volatility models: Theory and practice," MPRA Paper 11981, University Library of Munich, Germany, revised Aug 2007.
  33. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
  34. Yixiao Sun, 2005. "Adaptive Estimation of the Regression Discontinuity Model," Econometrics 0506003, EconWPA.
  35. Chan, Nigel & Wang, Qiying, 2015. "Nonlinear regressions with nonstationary time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 182-195.
  36. 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.
  37. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameter for nonlinear time series," LSE Research Online Documents on Economics 6813, London School of Economics and Political Science, LSE Library.
  38. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
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