Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
DOI10.1016/j.jspi.2012.04.005zbMath1335.62140arXiv1007.1193OpenAlexW1982581735MaRDI QIDQ452998
Hamdi Raïssi, Valentin Patilea
Publication date: 18 September 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.1193
kernel smoothingordinary least squaresadaptive least squaresBahadur relative efficiencyheteroscedastic errorslinear causality in meanVAR model
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
Related Items (7)
Cites Work
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