ESTIMATION OF COEFFICIENTS OF TIME SERIES REGRESSION WITH A NONSTATIONARY ERROR PROCESS

DOI10.1111/j.1467-9892.1995.tb00224.xzbMath0810.62083OpenAlexW2066022145MaRDI QIDQ4324818

Mituaki Huzii, Yoshihiro Usami

Publication date: 2 March 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00224.x

zbMATH Keywords

predictionprediction errorpolynomial regressionweak consistencycovariance structureordinary least squares estimatornonstationary processheteroskedasticitylinear trendtime series regressionweighted least squares estimatorsimulation studies

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (1)

SOME ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF A POLYNOMIAL REGRESSION WITH A HETEROSKEDASTIC ERROR

Cites Work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Consistent nonparametric regression. Discussion
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Nonlinear Regression on Cross-Section Data
• Estimating Regression Models with Multiplicative Heteroscedasticity
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