ESTIMATION OF COEFFICIENTS OF TIME SERIES REGRESSION WITH A NONSTATIONARY ERROR PROCESS

DOI10.1111/J.1467-9892.1995.TB00224.XMaRDI QIDQ4324818zbMATH OpenOpenAlexFDO

Authors Yoshihiro Usami, Mituaki Huzii

Publication date 2 March 1995

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1995.tb00224.x

zbMATH Keywords

covariance structureheteroskedasticitylinear trendnonstationary processordinary least squares estimatorpolynomial regressionpredictionprediction errorsimulation studiestime series regressionweak consistencyweighted least squares estimator

Mathematics Subject Classification ID

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

Recommendations

• Estimation in nonstationary random coefficient autoregressive models
• EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
• Estimation in a class of nonlinear heteroscedastic time series models
• AN ESTIMATION METHOD IN TIME SERIES ERRORS-IN-VARIABLES MODELS
• Nonparametric specification for non-stationary time series regression
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Estimation in nonlinear time series models
• Study of a regression model with nonlinear time series errors

Cites work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Consistent nonparametric regression. Discussion
• Estimating Regression Models with Multiplicative Heteroscedasticity
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• scientific article; zbMATH DE number 3366405 (Why is no real title available?)
• Nonlinear Regression on Cross-Section Data

Cited in

(9)

• Time series regression models with locally stationary disturbance
• Estimating deterministically time-varying variances in regression models
• Nonparametric regression with rescaled time series errors
• Estimation of regression coefficients in case of differentiable error processes
• SOME ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF A POLYNOMIAL REGRESSION WITH A HETEROSKEDASTIC ERROR
• Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
• EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
• Prediction of weakly locally stationary processes by auto-regression
• scientific article; zbMATH DE number 3357845 (Why is no real title available?)

This page was built for publication: ESTIMATION OF COEFFICIENTS OF TIME SERIES REGRESSION WITH A NONSTATIONARY ERROR PROCESS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4324818)