Adaptive local polynomial Whittle estimation of long-range dependence

Econometrica

Volumn 72, Issue 2, 2004, Pages 569-614

  Andrews, Donald W K ^a   Sun, Yixiao ^b  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Adaptive estimator; Asymptotic bias; Asymptotic normality; Bias reduction; Local polynomial; Long memory; Minimax rate; Optimal bandwidth; Whittle likelihood

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; MONTE CARLO METHODS; OPTIMIZATION; PARAMETER ESTIMATION; POLYNOMIALS;

ADAPTIVE LOCAL POLYNOMIAL WHITTLE ESTIMATION; ASYMPTOTIC BIAS; ASYMPTOTIC NORMALITY; BIAS REDUCTION; LONG MEMORY; MINIMAX RATE;

ECONOMICS;

EID: 1642345258     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2004.00501.x     Document Type: Article

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