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Expansions for approximate maximum likelihood estimators of the fractional difference parameter

Lieberman, Offer and Phillips, Peter C.B

Expansions for approximate maximum likelihood estimators of the fractional difference parameter J5710 2005 - 2005 - 367-379 V. 08 Issue. 3

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: ARFIMA;Bootstrap;Edgeworth expansion;Fractional differencing;Pivotal statistic;

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