Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean

DOI10.1016/j.jspi.2012.04.005zbMath1335.62140arXiv1007.1193MaRDI 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

zbMATH Keywords

kernel smoothing; ordinary least squares; adaptive least squares; Bahadur relative efficiency; heteroscedastic errors; linear causality in mean; VAR model

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

Related Items

Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance, ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY, Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem, Autoregressive Order Identification for VAR Models with Non Constant Variance

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