Adaptive estimation of autoregressive models with time-varying variances
From MaRDI portal
Publication:290952
DOI10.1016/j.jeconom.2007.06.001zbMath1418.62359MaRDI QIDQ290952
Peter C. B. Phillips, Ke-Li Xu
Publication date: 3 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/288
62P20: Applications of statistics to economics
62G07: Density estimation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
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