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Gaussian pseudo-maximum likelihood estimation of fractional time series models

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References

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1989Efficient Parameter Estimation for Self-Similar Processes692 cited
2002Exact Local Whittle Estimation of Fractional \nIntegration518 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
2017SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY16 cited
2013Estimation of long-run parameters in unbalanced cointegration10 cited

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