(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?

DOI10.1017/S0266466615000225zbMath1385.62023MaRDI QIDQ2981819

Matei Demetrescu, Uwe Hassler

Publication date: 10 May 2017

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

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (2)

Autoregressive spectral estimates under ignored changes in the mean ⋮ Unit root testing with slowly varying trends

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