Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form

DOI10.1080/07474930008800467zbMATH Open0949.62060OpenAlexW2053053346MaRDI QIDQ4493478FDOQ4493478

Authors: Douglas J. Hodgson 

Publication date: 6 August 2000

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930008800467

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zbMATH Keywords

time series modelsthreshold modelARCH modelsMarkov-switching modelsemiparametric iterative estimatorsunconditional pseudo maximum likelihood estimators

Mathematics Subject Classification ID

Point estimation (62F10) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (5)

• The econometrics of mean‐variance efficiency tests: a survey
• A comparison of mean-variance efficiency tests
• New testing approaches for mean-variance predictability
• Adaptive estimation of regression models via moment restrictions
• Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form

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