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Gaussian pseudo-maximum likelihood estimation of fractional time series models

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References

1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
1994Efficient Tests of Nonstationary Hypotheses863 cited
1989Efficient Parameter Estimation for Self-Similar Processes692 cited
1999THE NONSTATIONARY FRACTIONAL UNIT ROOT210 cited
2003Cointegration in Fractional Systems with Unknown Integration Orders147 cited

Cited by

2015THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS66 cited
2020Consistent inference for predictive regressions in persistent economic systems19 cited
2013Estimation of long-run parameters in unbalanced cointegration10 cited
2014Specification Testing in Structural Nonparametric Cointegration10 cited

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