Comment on `Adaptive estimation in time series regression models' by D. G. Steigerwald

DOI10.1016/0304-4076(94)01610-CzbMath0813.62099MaRDI QIDQ1347094

Benedikt M. Pötscher

Publication date: 6 June 1995

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

zbMATH Keywords

model selectionadaptive estimationARMA modelstime series regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Reply to B. M. Pötscher's comment on `Adaptive estimation in time series regression models', Adaptive estimation in time-series models, Efficient estimation in semiparametric GARCH models

Cites Work

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• Adaptive estimation in time series regression models
• Adaptive estimates for autoregressive processes
• On adaptive estimation in stationary ARMA processes
• On estimation and adaptive estimation for locally asymptotically normal families