LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES

By Xiaofeng Shao, Wei Biao Wu. Econometric Theory, 2007

56 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b8a1dfdfd95b6a5e25c7291b0a1b9681d614bc66

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Xiaofeng Shao
2. Zhongjun Qu
3. Wei Biao Wu
4. Lajos Horv'ath
5. Zhou Zhou
6. Alexander Aue
7. Weidong Liu
8. Xianyang Zhang

In Finance

1. Xiaofeng Shao
2. Zhongjun Qu
3. Wei Biao Wu
4. Lajos Horv'ath
5. Zhou Zhou
6. Alexander Aue
7. Weidong Liu
8. Andreas Hagemann

Citations in the corpus

• Asymptotic spectral theory for nonlinear time series (2006, unknown): “By Xiaofeng Shao and Wei Biao Wu1”
• STRONG INVARIANCE PRINCIPLES FOR DEPENDENT RANDOM VARIABLES (2007, background): “Shao and Wu [52] studied asymptotic properties of the”
• A simple test of changes in mean in the possible presence of long‐range dependence (2011, background): “Under appropriate conditions, it can be shown that ffiffiffiffi m p ðd̂ dÞ converges in distribution to N(0,1/4); see Robinson (1995), Shao and Wu (2007) for regularity conditions to ensure the convergence.”
• A Test Against Spurious Long Memory (2011, methodology): “1 in Shao and Wu (2007). The next result proves tightness and is needed to strengthen the pointwise convergence result in Lemma (B.”