EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION

DOI10.1111/J.1467-9892.1988.TB00464.XzbMATH Open0681.62074OpenAlexW1979565425MaRDI QIDQ4730643FDOQ4730643

Peter M. Robinson, Andrew C. Harvey

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00464.x

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zbMATH Keywords

serial correlationheteroskedasticityefficient estimationnonstationaryfittingadaptive estimatorstrending regressorsmultiple time series regression modelnonparametric curvestationary autoregressive process of known orderunknown time-varying scale factor

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• Adapting for heteroscedasticity in linear models
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Title not available (Why is that?)
• Martingale Central Limit Theorems
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• On consistency in time series analysis

Cited In (15)

• Cointegrating Regressions with Time Heterogeneity
• ESTIMATION OF COEFFICIENTS OF TIME SERIES REGRESSION WITH A NONSTATIONARY ERROR PROCESS
• Title not available (Why is that?)
• Adaptive Inference in Heteroscedastic Fractional Time Series Models
• Regression with Nonstationary Volatility
• Adaptive estimation of autoregressive models with time-varying variances
• Asymptotic theory for time series with changing mean and variance
• Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
• Adaptive estimation of AR(\(\infty\)) models with time-varying variances
• Heteroskedastic cointegration
• NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS
• The FEXP estimator for potentially non-stationary linear time series.
• SOME ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF A POLYNOMIAL REGRESSION WITH A HETEROSKEDASTIC ERROR
• ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY
• On multiple regression models with nonstationary correlated errors

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