Optimal estimation under nonstandard conditions

DOI10.1016/j.jeconom.2012.01.025zbMath1443.62285OpenAlexW3124743692MaRDI QIDQ528003

Werner Ploberger, Peter C. B. Phillips

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1824

zbMATH Keywords

weak convergenceasymptotic normalitylocal asymptotic normalityBayesian asymptoticslocally asymptotic quadraticoptimality property of MLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15)

Related Items (1)

Residual-based rank specification tests for AR-GARCH type models

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