Inference in Autoregression under Heteroskedasticity
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Publication:3440759
DOI10.1111/j.1467-9892.2005.00466.xzbMath1111.62082OpenAlexW2097465962MaRDI QIDQ3440759
Peter C. B. Phillips, Ke-Li Xu
Publication date: 29 May 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00466.x
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
Related Items (36)
Empirical likelihood inference in autoregressive models with time-varying variances ⋮ Estimation and inference of the vector autoregressive process under heteroscedasticity ⋮ Adaptive estimation of autoregressive models with time-varying variances ⋮ Forecasting cointegrated nonstationary time series with time-varying variance ⋮ Testing for abrupt breaks in variance structures with smooth changes ⋮ Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance ⋮ PORTMANTEAU AUTOCORRELATION TESTS UNDER Q -DEPENDENCE AND HETEROSKEDASTICITY ⋮ Nonlinear IV panel unit root testing under structural breaks in the error variance ⋮ 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 ⋮ Robust testing for explosive behavior with strongly dependent errors ⋮ Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean ⋮ 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 ⋮ Adaptive estimation of AR(\(\infty\)) models with time-varying variances ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ Robustifying multivariate trend tests to nonstationary volatility ⋮ Cointegrating rank selection in models with time-varying variance ⋮ A test for comparing two discrete stochastic dynamical systems under heteroskedasticity ⋮ Cointegrating Regressions with Time Heterogeneity ⋮ Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility ⋮ Statistical inference for autoregressive models under heteroscedasticity of unknown form ⋮ Testing for co-integration in vector autoregressions with non-stationary volatility ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY ⋮ THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS ⋮ HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT ⋮ Unit root testing with slowly varying trends ⋮ Nonparametric regression with rescaled time series errors ⋮ Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances ⋮ Residual-augmented IVX predictive regression
Cites Work
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- Nonparametric estimation of volatility models with serially dependent innovations
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Testing for a unit root in the presence of a variance shift
- Distribution theory for unit root tests with conditional heteroskedasticity
- Fitting time series models to nonstationary processes
- Unit root tests with a break in innovation variance.
- Large Sample Properties of Parameter Estimates for Periodic ARMA Models
- Unit Root Tests under Time-Varying Variances
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- Stochastic Limit Theory
- Asymptotics for unit root tests under Markov regime‐switching
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Large sample properties of parameter least squares estimates for time‐varying arma models
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Chi-Square Diagnostic Tests for Econometric Models: Theory
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- Optimal instrumental variables estimation for ARMA models
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