Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments

DOI10.1111/jtsa.12660OpenAlexW4281724731MaRDI QIDQ6135339

Stephen J. Leybourne, Yang Zu, David I. Harvey

Publication date: 24 August 2023

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

Full work available at URL: https://doi.org/10.1111/jtsa.12660

zbMATH Keywords

truncationexplosive segmentsnon-parametric variance function estimationnon-stationary segmentsstructural break autoregressive model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Economic time series analysis (91B84) Inference from stochastic processes (62Mxx)

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