M‐Estimation for regressions with integrated regressors and arma errors

DOI10.1046/J.0143-9782.2003.00350.XMaRDI QIDQ4828182zbMATH OpenOpenAlexFDO

Authors Dong Wan Shin, Oesook Lee

Publication date 24 November 2004

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

Full work available at URL https://doi.org/10.1046/j.0143-9782.2003.00350.x

zbMATH Keywords

\(M\)-estimatorsARMA errorsendogeneityregressions with integrated regressorsserial correlation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• Adaptive estimation of cointegrating regressions with ARMA errors
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• M-estimation for autoregression with infinite variance
• On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
• Regression with integrated regressors
• UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION

Cited in

(3)

• Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
• Shrinkage estimation for linear regression with ARMA errors
• Estimation of a linear regression model with stationary ARMA (p,q) errors

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