ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS

DOI10.1017/S0266466609990272zbMath1179.62111MaRDI QIDQ3652621

Iliyan Georgiev, Giuseppe Cavaliere

Publication date: 15 December 2009

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

tables

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

62F10: Point estimation

62F35: Robustness and adaptive procedures (parametric inference)

Related Items

EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS, Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables, Robust estimation and inference for heavy tailed GARCH, Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series

Uses Software

• Ox

Cites Work

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