EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS

DOI10.1017/S0266466613000030zbMath1290.62070MaRDI QIDQ4979495

Iliyan Georgiev, Giuseppe Cavaliere

Publication date: 23 June 2014

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

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Analysis of the forward search using some new results for martingales and empirical processes ⋮ Asymptotic Analysis of Iterated 1-Step Huber-Skip M-Estimators with Varying Cut-Offs ⋮ ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS

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