Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
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- The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
Cited in
(67)- Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
- Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations
- L₁-estimation in linear models with heterogeneous white noise
- Limit theory and bootstrap for explosive and partially explosive autoregression
- New tests for unit roots in autoregressive processes with possibly infinite variance errors
- Bootstrap tests for unit roots based on LAD estimation
- Inference for spatial autoregressive models with infinite variance noises
- Quantile inference for nonstationary processes with infinite variance innovations
- Portmanteau-type test for unit root with heavy-tailed noise
- Barely-stationary \(\mathrm{AR}(1)\) sequences near random walk
- Nearly nonstationary processes under infinite variance GARCH noises
- Nonparametric inference for quantile cointegrations with stationary covariates
- Computation and application of robust data-driven bandwidth selection for gradient function estimation
- Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors
- Asymptotic theory for LAD estimation of moderate deviations from a unit root
- Computation and application of copula-based weighted average quantile regression
- Unit root quantile autoregression testing using covariates
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- A quasi-Bayesian change point detection with exchangeable weights
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- Estimation of Censored Quantile Regression for Panel Data With Fixed Effects
- Unit roots: a selective review of the contributions of Peter C. B. Phillips
- Unit root bootstrap tests under infinite variance
- EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
- M-estimation for a spatial unilateral autoregressive model with infinite variance innovations
- Quantile cointegrating regression
- M-estimation for near unit roots in spatial autoregression with infinite variance
- A Note on Unit Root Tests with Infinite Variance Noise
- MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
- Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
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- scientific article; zbMATH DE number 1409954 (Why is no real title available?)
- Exploiting infinite variance through dummy variables in nonstationary autoregressions
- Nonstationary linear processes with infinite variance GARCH errors
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
- Asymptotic inference of least absolute deviation estimation for AR(1) processes
- Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions
- Averaged Autoregression Quantiles in Autoregressive Model
- Boundedness of M-estimators for linear regression in time series
- Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes
- Non-stationary autoregressive processes with infinite variance
- Nonstationary nonlinear quantile regression
- Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
- Testing for a unit root in a nonlinear quantile autoregression framework
- Rank tests of unit root hypothesis with infinite variance errors
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- \(k\)-sample upper expectation linear regression-modeling, identifiability, estimation and prediction
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