Linear double autoregression

DOI10.1016/j.jeconom.2018.05.006zbMath1452.62687OpenAlexW2884358540MaRDI QIDQ1792485

Yao Zheng, Guodong Li, Qian-Qian Zhu

Publication date: 12 October 2018

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.05.006

zbMATH Keywords

stationary solutionheavy tailgoodness-of-fit testconditional quantile estimationnonlinear time series model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (10)

Asymmetric linear double autoregression ⋮ Bayesian inference for a mixture double autoregressive model ⋮ Spatial-temporal Model with Heterogeneous Random Effects ⋮ QUANTILE DOUBLE AUTOREGRESSION ⋮ Rate-optimal robust estimation of high-dimensional vector autoregressive models ⋮ On an asymmetric functional-coefficient ARCH-M model ⋮ Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models ⋮ On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models ⋮ Quantile Estimation of Regression Models with GARCH-X Errors ⋮ Strict stationarity testing and GLAD estimation of double autoregressive models

Uses Software

• CAViaR

Cites Work

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