(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
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Publication:2981819
DOI10.1017/S0266466615000225zbMath1385.62023MaRDI QIDQ2981819
Publication date: 10 May 2017
Published in: Econometric Theory (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (2)
Autoregressive spectral estimates under ignored changes in the mean ⋮ Unit root testing with slowly varying trends
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