EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION

DOI10.1111/j.1467-9892.1988.tb00464.xzbMath0681.62074OpenAlexW1979565425MaRDI QIDQ4730643

Peter M. Robinson, Andrew C. Harvey

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00464.x

zbMATH Keywords

fittingserial correlationefficient estimationnonstationaryheteroskedasticityadaptive estimatorstrending regressorsmultiple time series regression modelnonparametric curvestationary autoregressive process of known orderunknown time-varying scale factor

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10)

Related Items (8)

Adaptive estimation of autoregressive models with time-varying variances ⋮ SOME ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF A POLYNOMIAL REGRESSION WITH A HETEROSKEDASTIC ERROR ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Asymptotic theory for time series with changing mean and variance ⋮ Adaptive estimation of AR(\(\infty\)) models with time-varying variances ⋮ Heteroskedastic cointegration ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS ⋮ Cointegrating Regressions with Time Heterogeneity

Cites Work

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• Adapting for heteroscedasticity in linear models
• On consistency in time series analysis
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Martingale Central Limit Theorems
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms

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