REGRESSION, AUTOREGRESSION MODELS

DOI10.1111/J.1467-9892.1986.TB00484.XzbMATH Open0588.62163OpenAlexW2056253595MaRDI QIDQ3716147FDOQ3716147

Authors: E. J. Hannan, Laimonis Kavalieris 

Publication date: 1986

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00484.x

Recommendations

• scientific article; zbMATH DE number 94014
• Publication:4934211
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• Regression Models with Time Series Errors
• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models

zbMATH Keywords

BICleast-squares methodAICmartingaleorder estimateslaw of the iterated logarithmapproximationsalmost sure convergence ratesARMAXresidual sequenceinnovation sequenceleast squares fitted regression autoregression models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cites Work

• Autocorrelation, autoregression and autoregressive approximation
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Title not available (Why is that?)
• The estimation of the order of an ARMA process
• Consistent autoregressive spectral estimates
• Title not available (Why is that?)
• Fitting autoregressive models for prediction
• Title not available (Why is that?)
• Title not available (Why is that?)
• Modeling by shortest data description
• The Hartman-Wintner Law of the Iterated Logarithm for Martingales
• Multivariate linear time series models
• Recursive estimation of mixed autoregressive-moving average order
• Title not available (Why is that?)
• An Asymptotic Result for the Finite Predictor.
• Rates of convergence for time series regression
• An optimal autoregressive spectral estimate
• THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1
• A method for autoregressive-moving average estimation

Cited In (44)

• On the vector autoregressive sieve bootstrap
• Order Choice in Nonlinear Autoregressive Models
• Title not available (Why is that?)
• Moving-average representation of autoregressive approximations
• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• Detrending bootstrap unit root tests
• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• A sieve bootstrap test for cointegration in a conditional error correction model
• Title not available (Why is that?)
• Nonasymptotic bounds for autoregressive time series modeling.
• On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models
• Inference on factor structures in heterogeneous panels
• A test for stationarity based on empirical processes
• An efficient method for the estimation of multivariate moving averge models
• A parametric estimation method for dynamic factor models of large dimensions
• On residual sums of squares in non-parametric autoregression
• Deterministic regression models for prediction and control
• Time series clustering based on forecast densities
• A local factor nonparametric test for trend synchronism in multiple time series
• Strong consistency of the regularized least-squares estimates of infinite autoregressive models
• QML estimators in linear regression models with functional coefficient autoregressive processes
• Resampling time series using missing values techniques
• On sieve bootstrap prediction intervals.
• Autoregressive-aided periodogram bootstrap for time series
• Calculation of regularized least squares estimators of autoregression coefficients based on inaccurate data
• Inference for the fourth-order innovation cumulant in linear time series
• Selection of the regression model order
• Extimation and structure determination of multivariate input systems
• Uniform convergence of autocovariances
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• On the numerical implementation of the generalized least squares procedure for arma estimation
• Model-free approaches in learning the multivariate linear regressive models
• Sieve bootstrap for smoothing in nonstationary time series
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• Title not available (Why is that?)
• Basic structure of the asymptotic theory in dynamic nonlinear econometric models
• On bootstrapping panel factor series
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Discriminating between long-range dependence and non-stationarity
• Mixing properties of ARCH and time-varying ARCH processes
• Autoregression analysis and its application in autoregression models
• Performance contours of autoregressive estimates
• A bootstrap test for time series linearity
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models

This page was built for publication: REGRESSION, AUTOREGRESSION MODELS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3716147)