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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書目詳細資料
Main Authors:	XU, Ke-Li, PHILLIPS, Peter C. B.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2008
主題:	Adaptive estimation Autoregression Heterogeneity Nonstationary volatility Weighted regression Econometrics
在線閱讀:	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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機構:	Singapore Management University
語言:	English

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