C22

Time-Series Models

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

Author(s)

Morten Ø. Nielsen

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Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks

Author(s)

fabrizio.iacone

Morten Ø. Nielsen

A.M. Robert Taylor

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Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order

Author(s)

Michael Jansson

Morten Ø. Nielsen

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To infinity and beyond: Efficient computation of ARCH(\infty) models

Author(s)

Morten Ø. Nielsen

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Adaptive Inference In Heteroskedastic Fractional Time Series Models

Author(s)

Giuseppe Cavaliere

Morten Ø. Nielsen

A.M. Robert Taylor

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Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends

Author(s)

Morten Ø. Nielsen

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A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model

Author(s)

Morten Ø. Nielsen

Michal Ksawery Popiel

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Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form

Author(s)

Giuseppe Cavaliere

Morten Ø. Nielsen

A.M. Robert Taylor

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Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets

Author(s)

Giuseppe Cavaliere

Morten Ø. Nielsen

A.M. Robert Taylor

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A Fast Fractional Difference Algorithm

Author(s)

Andreas Noack Jensen

Morten Ø. Nielsen

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