Truncated sum-of-squares estimation of fractional time series models with generalized power law trend

Autor: Javier Hualde, Morten Ørregaard Nielsen

Publikováno v: Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
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Hualde, J & Nielsen, M Ø 2022, ' Truncated sum-of-squares estimation of fractional time series models with generalized power law trend ', Electronic Journal of Statistics, vol. 16, no. 1, pp. 2884-2946 . https://doi.org/10.1214/22-EJS2009

We consider truncated (or conditional) sum-of-squares estimation of a parametric fractional time series model with an additive deterministic structure. The latter consists of both a drift term and a generalized power law trend. The memory parameter o

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f2a3a64d141bdd8361f88de6a3094b17
https://hdl.handle.net/2454/43702

Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter-Hudak (1983):Guest Editors' Introduction

Autor: Javier Hualde, Morten Ørregaard Nielsen

Publikováno v: Nielsen, M Ø & Hualde, J 2019, ' Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter-Hudak (1983) : Guest Editors' Introduction ', Journal of Time Series Analysis, vol. 40, no. 4, pp. 386-387 . https://doi.org/10.1111/jtsa.12478

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5cda8b5fbd238c25ceb5240aca426cfe
https://pure.au.dk/portal/da/publications/special-issue-of-the-journal-of-time-series-analysis-in-honour-of-the-35th-anniversary-of-the-publication-of-geweke-and-porterhudak-1983(e1c30ac1-eb60-49a4-b662-330c4b2e27f2).html

Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes

Autor: Fabrizio Iacone, Javier Hualde

Publikováno v: Academica-e: Repositorio Institucional de la Universidad Pública de Navarra
Universidad Pública de Navarra
Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
instname

We consider inference for the mean of a general stationary process based on standardizing the sample mean by a frequency domain estimator of the long run variance. Here, the main novelty is that we consider alternative asymptotics in which the bandwi

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2835d642fd454eeeb1a31ce6fd2e75e4
https://doi.org/10.1016/j.econlet.2016.10.014

A residual-based ADF test for stationary cointegration in I(2) settings

Autor: Javier Gomez-Biscarri, Javier Hualde

Publikováno v: Journal of Econometrics. 184:280-294

We propose a residual-based augmented Dickey–Fuller (ADF) test statistic that allows for detection of stationary cointegration within a system that may contain both I ( 2 ) and I ( 1 ) observables. The test is also consistent under the alternative

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::8b8006929c1b62dc1ea219265778e962
https://doi.org/10.1016/j.jeconom.2014.08.009

Spatial Integration in the Spanish Mackerel Market

Autor: Javier García-Enríquez, Javier Hualde, Arantza Murillas-Maza, Josu Arteche

Publikováno v: Journal of Agricultural Economics. 65:234-256

Javier Garcia-Enriquez and Josu Arteche are lecturer and associate professor of the departments Fundamentos del Analisis Economico II and Economia Aplicada III, respectively, in the University of the Basque Country UPV/EHU, Bilbao 48015, Spain. Javie

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::b36d4c12ff10f880f0ed203fa6eff6a3
https://doi.org/10.1111/1477-9552.12020