Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
DOI10.1016/J.SPL.2007.02.010zbMATH Open1128.62100OpenAlexW2086885461MaRDI QIDQ2467376FDOQ2467376
Publication date: 21 January 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.02.010
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Cited In (8)
- Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
- Explosive strong periodic autoregression with multiplicity one
- On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
- Some characterizations of non-ergodic estimating functions for stochastic processes
- Tests based on simplicial depth for AR(1) models with explosion
- Non-ergodic martingale estimating functions and related asymptotics
- Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors
- Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
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