ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
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Publication:3652621
DOI10.1017/S0266466609990272zbMath1179.62111MaRDI QIDQ3652621
Iliyan Georgiev, Giuseppe Cavaliere
Publication date: 15 December 2009
Published in: Econometric Theory (Search for Journal in Brave)
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
62F10: Point estimation
62F35: Robustness and adaptive procedures (parametric inference)
Related Items
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS, Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables, Robust estimation and inference for heavy tailed GARCH, Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series
Uses Software
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