EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY
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Publication:4807301
DOI10.1017/S0266466602183010zbMath1109.62338OpenAlexW3123342143MaRDI QIDQ4807301
Publication date: 18 May 2003
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466602183010
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)
Related Items (11)
Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form ⋮ Adaptive estimation of autoregressive models with time-varying variances ⋮ A review of asymptotic theory of estimating functions ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Kernel-weighted GMM estimators for linear time series models ⋮ Local GMM estimation of time series models with conditional moment restrictions ⋮ ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS ⋮ Statistical inference for autoregressive models under heteroscedasticity of unknown form ⋮ Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
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