Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change ove...

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Bibliographic Details
Main Authors: XU, Ke-Li, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
Adaptive estimation
Autoregression
Heterogeneity
Nonstationary volatility
Weighted regression
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/288
https://ink.library.smu.edu.sg/context/soe_research/article/1287/viewcontent/Adaptive_Estimation_of_Autoregressive_Models_2008.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/288
https://ink.library.smu.edu.sg/context/soe_research/article/1287/viewcontent/Adaptive_Estimation_of_Autoregressive_Models_2008.pdf

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