Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
Work
Year: 2014
Type: article
Abstract: This article proves consistency and asymptotic normality for the conditional‐sum‐of‐squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate fractional t... more
Source: Journal of Time Series Analysis
Author Morten Ørregaard Nielsen
Institution Queen's University
Cites: 49
Cited by: 36
Related to: 10
FWCI: 4.358
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: green