Higher-order kernel semiparametric M-estimation of long memory

Journal of Econometrics

Volumn 114, Issue 1, 2003, Pages 1-27

  Robinson, Peter M ^a   Henry, Marc ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Bias; Higher order kernel; Long memory; M estimation; Mean squared error; Semiparametric methods

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; COMPUTER SIMULATION; CORRELATION METHODS; ERROR ANALYSIS; FINANCE; FUNCTION EVALUATION; INTERPOLATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; NONLINEAR EQUATIONS; PARAMETER ESTIMATION; SPECTRUM ANALYSIS; TIME SERIES ANALYSIS; VARIATIONAL TECHNIQUES;

AUTOCORRELATION METHODS; COVARIANCE ANALYSIS; ECONOMETRICS; PARAMETERIZATION;

ECONOMICS;

EID: 0012653345     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00208-7     Document Type: Article

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