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Efficiency improvements in inference on stationary and nonstationary fractional time series

Robinson, Peter (2005) Efficiency improvements in inference on stationary and nonstationary fractional time series. Annals of Statistics, 33 (4). pp. 1800-1842. ISSN 0090-5364

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Identification Number: 10.1214/009053605000000354
Item Type: Article
Official URL: http://www.imstat.org/aos/
Additional Information: (c) 2001 Institute of Mathematical Statistics.
Divisions: Economics
Subjects: H Social Sciences > HA Statistics
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C10 - General
Sets: Departments > Economics
Date Deposited: 27 Jun 2007
Last Modified: 20 Jul 2019 00:46
URI: http://eprints.lse.ac.uk/id/eprint/2494

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