Adaptive Estimation of Autoregressive Models with Time-Varying Variances

• المؤلفون الرئيسيون: XU, Ke-Li, PHILLIPS, Peter C. B.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2008
• الموضوعات: Adaptive estimation; Autoregression; Heterogeneity; Nonstationary volatility; Weighted regression; Econometrics
• الوصول للمادة أونلاين: 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
• المؤسسة: Singapore Management University

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...