ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
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Publication:3652621
DOI10.1017/S0266466609990272zbMath1179.62111MaRDI QIDQ3652621
Iliyan Georgiev, Giuseppe Cavaliere
Publication date: 15 December 2009
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)
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Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series ⋮ Robust estimation and inference for heavy tailed GARCH ⋮ Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables ⋮ EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS
Uses Software
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