Combined estimating function for random coefficient models with correlated errors

DOI10.1080/03610926.2013.853794zbMATH Open1337.62275OpenAlexW2335962847MaRDI QIDQ2807745FDOQ2807745

M. Sh. Yahya, Khansa Hina Khalid, Ibrahim Mohamed

Publication date: 25 May 2016

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.853794

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zbMATH Keywords

RCAcorrelated errorsquadratic estimating functionsRCA-GARCH

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• The foundations of finite sample estimation in stochastic processes
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• Estimating functions for nonlinear time series models
• RCA models with correlated errors
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Transform martingale estimating functions
• Joint estimation using quadratic estimating function

Cited In (4)

• Combined fixed and random effects estimators
• Regression models with correlated errors based on functional random design
• Simultaneous prediction using target function based on principal components estimator with correlated errors
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