EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY

DOI10.1017/S0266466602183010zbMath1109.62338OpenAlexW3123342143MaRDI QIDQ4807301

Guido M. Kuersteiner

Publication date: 18 May 2003

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

Full work available at URL: https://doi.org/10.1017/s0266466602183010

zbMATH Keywords

tablesadaptive estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Related Items (11)

Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form ⋮ Adaptive estimation of autoregressive models with time-varying variances ⋮ A review of asymptotic theory of estimating functions ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Kernel-weighted GMM estimators for linear time series models ⋮ Local GMM estimation of time series models with conditional moment restrictions ⋮ ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS ⋮ Statistical inference for autoregressive models under heteroscedasticity of unknown form ⋮ Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments

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