Adaptive estimation of autoregressive models with time-varying variances
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Publication:290952
DOI10.1016/J.JECONOM.2007.06.001zbMATH Open1418.62359OpenAlexW3125437539MaRDI QIDQ290952FDOQ290952
Authors: 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
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Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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Cited In (58)
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- Adaptive Testing for Cointegration With Nonstationary Volatility
- New robust inference for predictive regressions
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- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- On portmanteau-type tests for nonlinear multivariate time series
- A WILD BOOTSTRAP FOR DEPENDENT DATA
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Empirical likelihood inference in autoregressive models with time-varying variances
- Bootstrapping non-stationary stochastic volatility
- Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility
- Multivariate trend function testing with mixed stationary and integrated disturbances
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- Power monotonicity in detecting volatility levels change
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- Averaged Autoregression Quantiles in Autoregressive Model
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- Cointegrating regressions with time heterogeneity
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- Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
- Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
- Cointegrating rank selection in models with time-varying variance
- ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY
- HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
- Testing for abrupt breaks in variance structures with smooth changes
- Testing explosive bubbles with time-varying volatility
- Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
- Adaptive estimation in time series regression models
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