ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
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Publication:3168421
DOI10.1017/S0266466612000035zbMath1369.62228MaRDI QIDQ3168421
Yuriy Gorodnichenko, Anna Mikusheva, Serena Ng
Publication date: 31 October 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466612000035
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G42: Martingales with discrete parameter
60J60: Diffusion processes
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