Asymptotic theory for time series with changing mean and variance
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Publication:2224882
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Cites work
- A nonlinear long memory model, with an application to US unemployment.
- Adaptive estimation of autoregressive models with time-varying variances
- Autoregressive coefficient estimation in nonparametric analysis
- Discrimination between monotonic trends and long-range dependence
- EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating error correlation in nonparametric regression
- Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
- Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
- Fitting time series models to nonstationary processes
- Forecasting the U.S. Unemployment Rate
- Gaussian estimation of parametric spectral density with unknown pole
- Gaussian pseudo-maximum likelihood estimation of fractional time series models
- scientific article; zbMATH DE number 3651578 (Why is no real title available?)
- scientific article; zbMATH DE number 3221815 (Why is no real title available?)
- scientific article; zbMATH DE number 3415224 (Why is no real title available?)
- Inference in Autoregression under Heteroskedasticity
- Large sample inference for long memory processes
- Large-sample inference for nonparametric regression with dependent errors
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Local Whittle estimation of the memory parameter in presence of deterministic components
- Martingale Central Limit Theorems
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Non-parametric estimation under strong dependence
- Nonparametric curve estimation with time series errors
- Nonparametric estimation of volatility models with serially dependent innovations
- Nonparametric regression with heteroscedastic long memory errors
- Nonparametric regression with rescaled time series errors
- On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
- The asymptotic theory of linear time-series models
- Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
Cited in
(9)- Asymptotic distribution of statistics in time series
- Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King
- Modelling time series when mean and variability both change
- Inference on nonstationary time series with moving mean
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
- Trend locally stationary wavelet processes
- Nonparametric detection of a time-varying mean
- A two-step estimating approach for heavy-tailed AR models with nonzero median GARCH-type noises
- Statistical inference of a special bilinear model with functional heteroscedasticity based on the sieve estimation
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