Model identification for infinite variance autoregressive processes
DOI10.1016/J.JECONOM.2012.08.009zbMATH Open1443.62239OpenAlexW2003904029MaRDI QIDQ528139FDOQ528139
Authors: Beth Andrews, Richard A. Davis 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001935
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Cited In (15)
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- Whittle parameter estimation for vector ARMA models with heavy-tailed noises
- Misspecification of noncausal order in autoregressive processes
- Discrete variable stochastic approximation procedures and recursive autoregressive model identification
- Title not available (Why is that?)
- On same-realization prediction in an infinite-order autoregressive process.
- Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates
- Inference in heavy-tailed vector error correction models
- Identification of moving average process with infinite variance
- Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
- MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES
- A Gini-based time series analysis and test for reversibility
- Diagnostic tests for non-causal time series with infinite variance
- Empirical processes for infinite variance autoregressive models
- Heavy tails of OLS
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