EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION

DOI10.1111/J.1467-9892.1988.TB00464.XMaRDI QIDQ4730643zbMATH OpenOpenAlexFDO

Authors Andrew C. Harvey, Peter M. Robinson

Publication date 1988

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1988.tb00464.x

zbMATH Keywords

adaptive estimatorsefficient estimationfittingheteroskedasticitymultiple time series regression modelnonparametric curvenonstationaryserial correlationstationary autoregressive process of known ordertrending regressorsunknown time-varying scale factor

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Adapting for heteroscedasticity in linear models
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• scientific article; zbMATH DE number 3332973 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Martingale Central Limit Theorems
• On consistency in time series analysis

Cited in

(21)

• Heteroskedastic cointegration
• Time series regression models with locally stationary disturbance
• The FEXP estimator for potentially non-stationary linear time series.
• Efficient inference for autoregressive coefficients in the presence of trends
• Asymptotic theory for time series with changing mean and variance
• Adaptive estimation of AR(\(\infty\)) models with time-varying variances
• Nonparametric transformation regression with nonstationary data
• Adaptive estimation of autoregressive models with time-varying variances
• scientific article; zbMATH DE number 3885162 (Why is no real title available?)
• Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
• On multiple regression models with nonstationary correlated errors
• Cointegrating regressions with time heterogeneity
• ESTIMATION OF COEFFICIENTS OF TIME SERIES REGRESSION WITH A NONSTATIONARY ERROR PROCESS
• SOME ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF A POLYNOMIAL REGRESSION WITH A HETEROSKEDASTIC ERROR
• Regression with Nonstationary Volatility
• Nonparametric cointegrating regression with NNH errors
• Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
• Adaptive long memory testing under heteroskedasticity
• The role of information in nonstationary regression
• Oracle-efficient estimation and trend inference in non-stationary time series with trend and heteroscedastic ARMA error
• Adaptive Inference in Heteroscedastic Fractional Time Series Models

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