کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9555325 | 1376604 | 2005 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The distance between rival nonstationary fractional processes
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The distance between rival nonstationary fractional processes The distance between rival nonstationary fractional processes](/preview/png/9555325.png)
چکیده انگلیسی
Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the mean squared error of the difference between (possibly tapered) discrete Fourier transforms under the two regimes. We apply the results to deduce limit theory for estimates of memory parameters, including ones for cointegrating errors, with mention also of implications for estimates of cointegrating coefficients.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 128, Issue 2, October 2005, Pages 283-300
Journal: Journal of Econometrics - Volume 128, Issue 2, October 2005, Pages 283-300
نویسندگان
P.M. Robinson,