Adaptive estimation of autoregressive models with time-varying variances

DOI10.1016/j.jeconom.2007.06.001zbMath1418.62359OpenAlexW3125437539MaRDI QIDQ290952

Peter C. B. Phillips, Ke-Li Xu

Publication date: 3 June 2016

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/288

zbMATH Keywords

heterogeneityadaptive estimationautoregressionweighted regressionnonstationary volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (45)

Empirical likelihood inference in autoregressive models with time-varying variances ⋮ Multivariate trend function testing with mixed stationary and integrated disturbances ⋮ Estimation and inference of the vector autoregressive process under heteroscedasticity ⋮ Autoregressive Order Identification for VAR Models with Non Constant Variance ⋮ Forecasting cointegrated nonstationary time series with time-varying variance ⋮ Testing for abrupt breaks in variance structures with smooth changes ⋮ Testing for structural changes in linear regressions with time-varying variance ⋮ Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance ⋮ PORTMANTEAU AUTOCORRELATION TESTS UNDER Q -DEPENDENCE AND HETEROSKEDASTICITY ⋮ Corrected portmanteau tests for VAR models with time-varying variance ⋮ Order selection for heteroscedastic autoregression: a study on concentration ⋮ A WILD BOOTSTRAP FOR DEPENDENT DATA ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models ⋮ Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form ⋮ Multi-period power utility optimization under stock return predictability ⋮ Variance function estimation in regression model via aggregation procedures ⋮ A non‐parametric test for multi‐variate trend functions ⋮ Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ Robust testing for explosive behavior with strongly dependent errors ⋮ On portmanteau-type tests for nonlinear multivariate time series ⋮ Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean ⋮ Power monotonicity in detecting volatility levels change ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Asymptotic theory for time series with changing mean and variance ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Averaged Autoregression Quantiles in Autoregressive Model ⋮ Adaptive estimation of AR(\(\infty\)) models with time-varying variances ⋮ Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ Robustifying multivariate trend tests to nonstationary volatility ⋮ Cointegrating rank selection in models with time-varying variance ⋮ Cointegrating Regressions with Time Heterogeneity ⋮ Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility ⋮ Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity ⋮ Statistical inference for autoregressive models under heteroscedasticity of unknown form ⋮ Testing for co-integration in vector autoregressions with non-stationary volatility ⋮ Bootstrapping non-stationary stochastic volatility ⋮ HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT ⋮ Testing explosive bubbles with time-varying volatility ⋮ Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets ⋮ Standard Errors for Nonparametric Regression ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances

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