ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS

DOI10.1081/ETC-200049135zbMath1061.62037OpenAlexW2105499585MaRDI QIDQ4678784

Nikolay Gospodinov

Publication date: 23 May 2005

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

Full work available at URL: https://doi.org/10.1081/etc-200049135

zbMATH Keywords

confidence intervalsconditional heteroskedasticityGMMgeneralized empirical likelihoodtest inversion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Empirical likelihood methods with weakly dependent processes
• Empirical likelihood ratio confidence regions
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Empirical likelihood for linear models
• Empirical likelihood and general estimating equations
• Dual likelihood
• Testing for linear autoregressive dynamics under heteroskedasticity
• Nonparametric Confidence Limits by Resampling Methods and Least Favorable Families
• Empirical likelihood ratio confidence intervals for a single functional
• On the Formulation of Wald Tests of Nonlinear Restrictions
• Nonparametric standard errors and confidence intervals
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Stochastic Limit Theory
• Information Theoretic Approaches to Inference in Moment Condition Models
• A compendium to information theory in economics and econometrics
• EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY
• Bootstrap Methods for Markov Processes
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Martingale Central Limit Theorems
• On Limit Theorems for Quadratic Functions of Discrete Time Series

This page was built for publication: ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS