Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models

Keyphrases

• Autoregressive Integrated Moving Average (ARIMA) 100%
• Fractionally Integrated 100%
• Asymptotic Inference 100%
• Sum of Squares 100%
• Unit Root 66%
• Squares Estimators 66%
• Brownian Motion 33%
• Unit Circle 33%
• Asymptotic Theory 33%
• Asymptotic Distribution 33%
• Limiting Distribution 33%
• Autoregression 33%
• Finite Sample Properties 33%
• Stochastic Integral 33%
• Long Memory Time Series 33%
• Dq Model 33%
• Efficiency Loss 33%

Mathematics

• Asymptotics 100%
• Conditionals 100%
• Autoregressive Integrated Moving Average Model 100%
• Sum of Squares 100%
• Square Estimator 66%
• Unit Circle 33%
• Asymptotic Theory 33%
• Asymptotic Distribution 33%
• Limiting Distribution 33%
• Autoregression 33%
• Autoregressive Integrated Moving Average 33%
• Brownian Motion 33%
• Stochastic Integral 33%

Economics, Econometrics and Finance

• Unit Root 100%
• ARMA Model 100%
• Levy Process 50%
• Time Series 50%
• Autoregression 50%