Cointegrating Regressions with Time Heterogeneity
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Publication:3578996
DOI10.1080/07474930903562221zbMath1192.62198OpenAlexW2044921758MaRDI QIDQ3578996
Publication date: 5 August 2010
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930903562221
Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
Related Items (6)
Autoregressive Order Identification for VAR Models with Non Constant Variance ⋮ Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS ⋮ Partial parametric estimation for nonstationary nonlinear regressions ⋮ Cointegration in high frequency data
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