TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS

DOI10.1017/S0266466611000727zbMath1239.62104OpenAlexW2130349521MaRDI QIDQ2890711

Ngai Hang Chan, Deyuan Li, Liang Peng

Publication date: 11 June 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466611000727

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

Related Items (18)

Statistical inference in a random coefficient panel model ⋮ Empirical likelihood-based unified confidence region for a predictive regression model ⋮ Asymptotic inference of least absolute deviation estimation for AR(1) processes ⋮ UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS ⋮ Asymptotic normality of residual density estimator in stationary and explosive autoregressive models ⋮ Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises ⋮ A unified unit root test regardless of intercept ⋮ Testing for explosive bubbles: a review ⋮ Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ A new test of asset return predictability with an unstable predictor ⋮ Predictive regressions for macroeconomic data ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models ⋮ Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals ⋮ Asymptotic Theory and Unified Confidence Region for an Autoregressive Model ⋮ Least tail-trimmed squares for infinite variance autoregressions ⋮ EMPIRICAL LIKELIHOOD TEST FOR CAUSALITY OF BIVARIATE AR(1) PROCESSES

Cites Work

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• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Asymptotic inference for nearly nonstationary AR(1) processes
• Empirical likelihood and general estimating equations
• On asymptotic properties of bootstrap for AR(1) processes
• Time Series with Roots on or Near the Unit Circle
• Towards a unified asymptotic theory for autoregression
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Fully Modified Least Squares and Vector Autoregression
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Uniform Inference in Autoregressive Models
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

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