Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
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Cites work
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- Adaptive estimation of autoregressive models with time-varying variances
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- Estimation in Random Coefficient Autoregressive Models
- Estimation of variances in a heteroscedastic RCA(1) model.
- Fixed-design semiparametric regression for linear time series
- Generalized autoregressive conditional heteroscedasticity
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- Unit Root Tests under Time-Varying Variances
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