Adaptive estimation of cointegrating regressions with ARMA errors

DOI10.1016/S0304-4076(97)00101-2zbMATH Open0961.62075OpenAlexW2105371966WikidataQ128081599 ScholiaQ128081599MaRDI QIDQ1298415FDOQ1298415

Authors: Douglas J. Hodgson 

Publication date: 5 June 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00101-2

Recommendations

• Adaptive estimation in time series regression models
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zbMATH Keywords

semiparametricefficiencycointegrationnonnormalityARMA processtriangular models

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited In (11)

• An adaptive estimation of MAVE
• Semi-parametric estimation of linear cointegrating models with nonlinear contemporaneous endogeneity
• M‐Estimation for regressions with integrated regressors and arma errors
• A nonparametric regression estimator that adapts to error distribution of unknown form
• Semiparametrically optimal cointegration test
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
• Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form
• Adaptive estimation for varying coefficient models
• Adaptive estimation in time series regression models
• Adaptive R-estimation in a linear regression model with ARMA errors

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