The least-squares criteria of the random coefficient dynamic regression model

DOI10.1080/15598608.2012.673891zbMath1425.62123OpenAlexW1998001060MaRDI QIDQ2320764

Autcha Araveeporn

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2012.673891

zbMATH Keywords

autoregressive modelleast-squares criterionrandom coefficient dynamic regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) General nonlinear regression (62J02)

Uses Software

• FinTS

Cites Work

• Threshold models in non-linear time series analysis
• Random coefficient autoregressive models: an introduction
• Parameter estimation for generalized random coefficient autoregressive processes
• Generalized autoregressive conditional heteroscedasticity
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Forecasting volatility
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Conditional Heteroscedastic Time Series Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Time Series Regression with a Unit Root
• Analysis of Financial Time Series

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