EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
DOI10.1111/j.1467-9892.1988.tb00464.xzbMath0681.62074OpenAlexW1979565425MaRDI QIDQ4730643
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
fittingserial correlationefficient estimationnonstationaryheteroskedasticityadaptive estimatorstrending regressorsmultiple time series regression modelnonparametric curvestationary autoregressive process of known orderunknown time-varying scale factor
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10)
Related Items (8)
Cites Work
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- Adapting for heteroscedasticity in linear models
- On consistency in time series analysis
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- Martingale Central Limit Theorems
- Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
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