Long memory series with attractors
By Clive W. J. Granger, J. Hallman. 2001
88 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/efee621164e27d5a9e8223e1f9003231afe64295
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
- Norman R. Swanson
- Valentina Corradi
- Dag Tjøstheim
- Halbert White
- Terje Myklebust
- H. A. Karlsen
- P. R. Hansen
- Andrew J. Patton
In Statistics and Probability
- Norman R. Swanson
- Valentina Corradi
- Dag Tjøstheim
- Terje Myklebust
- Halbert White
- H. A. Karlsen
- Dimitris Nicolas Politis
- Barbara Rossi
Citations in the corpus
- Nonparametric estimation in null recurrent time series (2001, background): “The need for models combining features of nonlinearity and nonstationarity has been emphasized [see, e.g., Granger and Hallman (1991), Granger (1995), Aparicio and Escribano (1997)], but no systematic estimation theory exists.”
- Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes (2000, result): “Note that our approach differs from that of Granger and Hallman (1991).”
- Nonparametric estimation in a nonlinear cointegration type model (2007, methodology): “, [8, 12]), but to our knowledge, the properties of the resulting nonparametric estimates have not been established (see [27] for a consistency property in a simplified situation, though).”