Adaptive estimation in time series regression models

DOI10.1016/0304-4076(92)90108-4zbMath0755.62088OpenAlexW2089095648MaRDI QIDQ1203090

Douglas G. Steigerwald

Publication date: 4 February 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90108-4

zbMATH Keywords

ARMA processadaptive estimatorsserially correlated errorsfinite sample resultstime series regression modelsforward foreign exchange market

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (14)

Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form ⋮ SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS ⋮ A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM ⋮ Comment on `Adaptive estimation in time series regression models' by D. G. Steigerwald ⋮ Adaptive estimation in time-series models ⋮ Efficient estimation in semiparametric GARCH models ⋮ Finite sample properties of adaptive regression estimators ⋮ An adaptive estimation of MAVE ⋮ A Review of Nonparametric Time Series Analysis ⋮ Uniformly adaptive estimation for models with arma errors ⋮ Adaptive estimation of cointegrating regressions with ARMA errors ⋮ Adaptive estimation for varying coefficient models ⋮ Partially adaptive estimation of nonlinear models via a normal mixture ⋮ Partially adaptive estimation of autoregressive processes via a normal mixture

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