Nonparametric regression with rescaled time series errors
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Cites work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
- Autoregressive coefficient estimation in nonparametric analysis
- Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
- Efficient estimation of conditional variance functions in stochastic regression
- Functional-Coefficient Autoregressive Models
- Inference in Autoregression under Heteroskedasticity
- Local polynomial estimators of the volatility function in nonparametric autoregression
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric estimation of volatility models with serially dependent innovations
- The Lindeberg-Levy Theorem for Martingales
- Time series: theory and methods.
- Unit Root Tests under Time-Varying Variances
- Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
Cited in
(13)- Nonparametric time series regression
- Semi-recursive nonparametric identification in the general sense of a nonlinear heteroscedastic autoregression
- Asymptotic theory for time series with changing mean and variance
- Regression models with time series errors
- Semiparametric regression with a FARIMA-GARCH error process: theory and application
- scientific article; zbMATH DE number 3990630 (Why is no real title available?)
- Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
- Multiscale inference and long-run variance estimation in non-parametric regression with time series errors
- Spline estimation for heteroscedastic nonparametric regression models under dependent errors
- scientific article; zbMATH DE number 5224898 (Why is no real title available?)
- On the asymptotic variance in nonparametric regression with fractional time-series errors
- Variance estimation in nonlinear autoregressive time series models
- Nonparametric curve estimation with time series errors
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