Nonlinear log-periodogram regression for perturbed fractional processes

Journal of Econometrics

Volumn 115, Issue 2, 2003, Pages 355-389

  Sun, Yixiao ^a   Phillips, Peter C B ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b YALE UNIVERSITY   (United States)

Author keywords

Asymptotic bias; Asymptotic normality; Bias reduction; Fractional components model; Perturbed fractional process; Rate of convergence; Testing perturbations

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; DATA REDUCTION; PERTURBATION TECHNIQUES; REGRESSION ANALYSIS;

BIAS REDUCTION; RATE OF CONVERGENCE;

NONLINEAR EQUATIONS;

EID: 0347985224     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00115-5     Document Type: Article

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