Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity (Q527995): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2012.01.017
@@ Property / DOI: 10.1016/j.jeconom.2012.01.017 / rank @@
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@@ Property / author @@
-Donald W. K. Andrews
@@ Property / author: Donald W. K. Andrews / rank @@
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@@ Property / author @@
+Donald W. K. Andrews
@@ Property / author: Donald W. K. Andrews / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 62E20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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@@ Property / zbMATH DE Number @@
+6714730
@@ Property / zbMATH DE Number: 6714730 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+asymptotic distribution
@@ Property / zbMATH Keywords: asymptotic distribution / rank @@
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@@ Property / zbMATH Keywords @@
+autoregression
@@ Property / zbMATH Keywords: autoregression / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+conditional heteroskedasticity
@@ Property / zbMATH Keywords: conditional heteroskedasticity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generalized least squares
@@ Property / zbMATH Keywords: generalized least squares / rank @@
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@@ Property / zbMATH Keywords @@
+least squares
@@ Property / zbMATH Keywords: least squares / rank @@
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+MaRDI publication profile
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+W3125469818
@@ Property / OpenAlex ID: W3125469818 / rank @@
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@@ Property / cites work @@
+Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
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@@ Property / cites work @@
+Hybrid and Size-Corrected Subsampling Methods
@@ Property / cites work: Hybrid and Size-Corrected Subsampling Methods / rank @@
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE <i>m</i> OUT OF <i>n</i> BOOTSTRAP
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@@ Property / cites work @@
+Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Asymptotic inference for nearly nonstationary AR(1) processes
+Normal rank
@@ Property / cites work @@
+Mixing: Properties and examples
@@ Property / cites work: Mixing: Properties and examples / rank @@
+Normal rank
@@ Property / cites work @@
+Confidence intervals for autoregressive coefficients near one
+Normal rank
@@ Property / cites work @@
+Uniform Limit Theory for Stationary Autoregression
+Normal rank
@@ Property / cites work @@
+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
+Normal rank
@@ Property / cites work @@
+Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Continuous Time Approximations to GARCH and Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Uniform Inference in Autoregressive Models
@@ Property / cites work: Uniform Inference in Autoregressive Models / rank @@
+Normal rank
@@ Property / cites work @@
+Tests for Unit Roots and the Initial Condition
@@ Property / cites work: Tests for Unit Roots and the Initial Condition / rank @@
+Normal rank
@@ Property / cites work @@
+Testing the autoregressive parameter with the t statistic
+Normal rank
@@ Property / cites work @@
+Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
+Normal rank
@@ Property / cites work @@
+Towards a unified asymptotic theory for autoregression
+Normal rank
@@ Property / cites work @@
+Limit theory for moderate deviations from a unit root
+Normal rank
@@ Property / cites work @@
+Distribution theory for unit root tests with conditional heteroskedasticity
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2012.01.017
@@ Property / DOI: 10.1016/J.JECONOM.2012.01.017 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:527995