Semiparametric regression with a FARIMA-GARCH error process: theory and application

MaRDI QIDQ3173835zbMATH OpenFDO

Authors Germán Aneiros, Wenceslao González-Manteiga, Juan C. Reboredo

Publication date 10 October 2011

zbMATH Keywords

hypothesis testingtime seriesnonparametric statisticspartial linear regressionlong-memory processes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) 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

(5)

• Estimation of SEM with GARCH errors
• Asymptotic theory for regression models with fractional local to unity root errors
• Mean volatility regressions
• Modelling financial time series with SEMIFAR GARCH model
• Local polynomial estimation with a FARIMA-GARCH error process

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