Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility
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Publication:5177951
DOI10.1111/sjos.12095zbMath1364.62282OpenAlexW1594672156MaRDI QIDQ5177951
Publication date: 9 March 2015
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/sjos.12095
semiparametric modelefficiency gainnon-stationary volatilitydeterministic trendCochrane-Orcutt estimatornearly integrated process
Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)
Related Items (4)
Multivariate trend function testing with mixed stationary and integrated disturbances ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Testing explosive bubbles with time-varying volatility ⋮ Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
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