Adaptive estimation of cointegrating regressions with ARMA errors
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- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Adaptive estimation in time series regression models
- Adaptive estimation of non–linear regression models
- Adaptive maximum likelihood estimators of a location parameter
- Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
- Asymptotically efficient adaptive rank estimates in location models
- Asymptotics for linear processes
- Canonical Cointegrating Regressions
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Efficient estimation in semiparametric GARCH models
- Estimating Long-Run Economic Equilibria
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Modeling asset returns with alternative stable distributions*
- Monte Carlo evidence on adaptive maximum likelihood estimation of a regression
- On adaptive estimation
- On adaptive estimation in stationary ARMA processes
- On estimation and adaptive estimation for locally asymptotically normal families
- On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
- Optimal Inference in Cointegrated Systems
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Statistical analysis of cointegration vectors
- The information matrix, skewness tensor and -connections for the general multivariate elliptic distribution
Cited in
(11)- An adaptive estimation of MAVE
- Adaptive R-estimation in a linear regression model with ARMA errors
- 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
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