Similar Search Results

Uniform asymptotic normality in stationary and unit root autoregression

Han, Chirok; Phillips, Peter C. B.; Sul, Donggyu - In: Econometric theory 27 (2011) 6, pp. 1117-1151

Persistent link: https://www.econbiz.de/10009489719

Testing for unit roots in autoregressions with multiple level shifts

Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 23 (2007) 6, pp. 1162-1215

Persistent link: https://www.econbiz.de/10003591856

Méthodes dʾinférence exactes pour un modèle de régression avec erreurs AR(2) Gaussiennes

Dufour, Jean-Marie; Neifar, Malika - In: L' Actualité économique : revue trimest. 80 (2004) 4, pp. 593-618

Persistent link: https://www.econbiz.de/10003147174

Long memory via networking

Schennach, Susanne M. - 2018 - This version: June 12, 2018

Many time-series exhibit "long memory": Their autocorrelation function decays slowly with lag. This behavior has …

Persistent link: https://www.econbiz.de/10011883050

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - 2012

Persistent link: https://www.econbiz.de/10009627354

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - 2012

Persistent link: https://www.econbiz.de/10009628606

Sample path properties of an explosive double autoregressive model

Liu, Feng; Li, Dong; Kang, Xinmei - In: Econometric reviews 37 (2018) 1/5, pp. 484-490

Persistent link: https://www.econbiz.de/10012039365

Regime-Switching and the Estimation of Multifractal Processes

Calvet, Laurent - 2003

phenomena in the literature. Maximum likelihood estimation is developed and shown to perform well in finite sample. We estimate …

Persistent link: https://www.econbiz.de/10012468859

Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes

Liebscher, Eckhard - 2005

In this paper we attempt to establish unified sufficient conditions for geometric ergodicity of autoregressive models. It is shown that there is a close relationship between geometric ergodicity and mixing properties. The case of nonstationary time series is incorporated into the investigations....

Persistent link: https://www.econbiz.de/10014062981

Weak limits of random coefficient autoregressive processes and their application in ruin theory

Dong, Y.; Spielmann, J. - In: Insurance / Mathematics & economics 91 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012241966