Non-Gaussian log-periodogram regression

Econometric Theory

Volumn 16, Issue 1, 2000, Pages 44-79

  Velasco, Carlos ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034373542     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600161031     Document Type: Article

References (14)

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11. Giraitis, L., P.M. Robinson, & A. Samarov (1997) Rate optimal semiparameteric estimation of the memory parameter of the Gaussian time series with long-range dependence. Journal of Time Series Analysis 18, 49-60.
12. Giraitis, L. & D. Surgailis (1990) A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotic normality of Whittle's estimate. Probability Theory and Related Fields 86, 87-104.
13. Velasco, C. (1997) Higher Order Asymptotic Theory for Nonparametric Time Series Analysis and Related Contributions. Ph.D. Thesis, University of London.
14. Velasco, C. (1999) Non-stationary log-periodogram regression. Journal of Econometrics 91, 325-371.