LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
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Recommendations
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- A Brief Survey of Bandwidth Selection for Density Estimation
- Asymptotic Theory of Least Absolute Error Regression
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Distribution theory for unit root tests with conditional heteroskedasticity
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Generalized autoregressive conditional heteroscedasticity
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least absolute deviation estimation for regression with ARMA errors
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- M-estimation for autoregression with infinite variance
- Multiple Time Series Regression with Integrated Processes
- Nonparameteric estimation in mixing sequences of random variables
- On s-quasinormal and c-normal subgroups of a finite group.
- On a Mixture GARCH Time-Series Model
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Testing for a unit root in time series regression
- Time Series Regression with a Unit Root
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Weak limit theorems for stochastic integrals and stochastic differential equations
Cited in
(15)- QUANTILE DOUBLE AUTOREGRESSION
- A hybrid bootstrap approach to unit root tests
- Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Bootstrap inference for GARCH models by the least absolute deviation estimation
- Least absolute deviation estimation for AR(1) processes with roots close to unity
- Nearly nonstationary processes under infinite variance GARCH noises
- On Mixture Double Autoregressive Time Series Models
- Asymptotic inference for unit root processes with GARCH(1,1) errors
- Linear double autoregression
- A weighted least squares procedure to approximate least absolute deviation estimation in time series with specific reference to infinite variance unit root problems
- Least absolute deviations estimation for ARCH and GARCH models
- Self-weighted estimation for nonstationary processes with infinite variance GARCH errors
- Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises
- On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
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