Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form

DOI10.1080/07474930008800467zbMath0949.62060OpenAlexW2053053346MaRDI QIDQ4493478

Douglas J. Hodgson

Publication date: 6 August 2000

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

Full work available at URL: https://doi.org/10.1080/07474930008800467

zbMATH Keywords

ARCH modelsthreshold modelMarkov-switching modeltime series modelssemiparametric iterative estimatorsunconditional pseudo maximum likelihood estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02)

Related Items (4)

Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form ⋮ A comparison of mean-variance efficiency tests ⋮ New testing approaches for mean-variance predictability ⋮ The econometrics of mean‐variance efficiency tests: a survey

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