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  1. Bias correction of persistence measures in fractionally integrated models
    Author: Grose, Simone D.; Martin, Gael M.; Poskitt, Donald Stephen
    Published: September 2014
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    No inter-library loan
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    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Revised 13, 29
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 14, 19
    Subjects: Long memory; ARFIMA; sieve bootstrap; bootstrap-based biascorrection; sample autocorrelation function; impulse response function
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  2. Second order expansions for the distribution of the maximum likelihood estimator of the fractional difference parameter
    Author: Lieberman, Offer; Phillips, Peter C. B.
    Published: 2001

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 292 (1308)
    Inter-library loan:
    Unlimited inter-library loan, copies and loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Cowles Foundation discussion paper ; 1308
    Subjects: Theorie; Maximum-Likelihood-Schätzung; ARFIMA
    Scope: 13 S, graph. Darst
    Notes: