Nonlinear instrumental variable estimation of an autoregression.

DOI10.1016/S0304-4076(03)00141-6zbMath1033.62085MaRDI QIDQ1421319

Peter C. B. Phillips, Yoosoon Chang, Joon Y. Park

Publication date: 26 January 2004

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

zbMATH Keywords

tablesUnit rootCauchy estimatorSojourn timeInstrumental variable autoregressionNonlinear instruments

Mathematics Subject Classification ID

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

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