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Estimation and Inference in Autoregressive Models with Trending Innovation Variance

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9780470316917openalex-extracted

Introduction to Statistical Time Series

inferredcites →https://doi.org/10.1007/s11203-005-1055-6openalex-extracted

Asymptotic Properties of Quasi-Maximum Likelihood Estimators for ARMA Models with Time-Dependent Coefficients

inferredcites →https://doi.org/10.1016/0165-1765(87)90122-4openalex-extracted

Testing for unit roots

inferredcites →https://doi.org/10.1016/j.jeconom.2006.01.002openalex-extracted

Nonstationary nonlinear heteroskedasticity in regression

inferredcites →https://doi.org/10.1016/j.jeconom.2006.07.019openalex-extracted

Testing for unit roots in time series models with non-stationary volatility

inferredcites →https://doi.org/10.1017/s0266466600004904openalex-extracted

Time Series Regression With a Unit Root and Infinite-Variance Errors

inferredcites →https://doi.org/10.1017/s0266466600006320openalex-extracted

Relationship Between the Forward and Backward Representations of the Stationary VAR Model

inferredcites →https://doi.org/10.1017/s0266466600012032openalex-extracted

Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes

inferredcites →https://doi.org/10.1017/s0266466600012561openalex-extracted

On the First-Order Autoregressive Process with Infinite Variance

inferredcites →https://doi.org/10.1017/s0266466600013396openalex-extracted

Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables

inferredcites →https://doi.org/10.1080/01621459.1974.10480135openalex-extracted

On the Stable Paretian Behavior of Stock-Market Prices

inferredcites →https://doi.org/10.1080/01621459.1979.10482531openalex-extracted

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

inferredcites →https://doi.org/10.1080/01621459.1990.10474977openalex-extracted

Inference for Near-Integrated Time Series With Infinite Variance

inferredcites →https://doi.org/10.1081/etc-200028215openalex-extracted

Unit Root Tests under Time-Varying Variances

inferredcites →https://doi.org/10.1093/0198774036.001.0001openalex-extracted

Stochastic Limit Theory

inferredcites →https://doi.org/10.1093/biomet/71.2.263openalex-extracted

Parameter Inference for a Nearly Nonstationary First-Order Autoregressive Model

inferredcites →https://doi.org/10.1111/1468-0262.00115openalex-extracted

Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices

inferredcites →https://doi.org/10.1111/j.1368-423x.2008.00235.xopenalex-extracted

Bootstrapping Autoregression under Non-stationary Volatility

inferredcites →https://doi.org/10.1111/j.1467-9892.1982.tb00343.xopenalex-extracted

AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE

inferredcites →https://doi.org/10.1111/j.1467-9892.2005.00466.xopenalex-extracted

Inference in Autoregression under Heteroskedasticity

inferredcites →https://doi.org/10.1214/aoms/1177706198openalex-extracted

On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations

inferredcites →https://doi.org/10.1214/aoms/1177706450openalex-extracted

The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

inferredcites →https://doi.org/10.1214/aos/1176344077openalex-extracted

Asymptotic Distribution of an Estimator of the Boundary Parameter of an Unstable Process

inferredcites →https://doi.org/10.1214/aos/1176348666openalex-extracted

Asymptotics for Linear Processes

inferredcites →https://doi.org/10.1214/aos/1176349937openalex-extracted

Limit Theory for the Sample Covariance and Correlation Functions of Moving Averages

inferredcites →https://doi.org/10.1214/aos/1176350492openalex-extracted

Asymptotic Inference for Nearly Nonstationary AR(1) Processes

inferredcites →https://doi.org/10.1214/aos/1176350711openalex-extracted

Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

inferredcites →https://doi.org/10.1257/aer.90.5.1464openalex-extracted

Output Fluctuations in the United States: What Has Changed Since the Early 1980's?

inferredcites →https://doi.org/10.2139/ssrn.938810openalex-extracted

Output Fluctuations in the United States: What Has Changed Since the Early 1980s?

inferredcites →https://doi.org/10.2307/1268718openalex-extracted

Introduction to Statistical Time Series

inferredcites →https://doi.org/10.2307/1905674openalex-extracted

On the Statistical Treatment of Linear Stochastic Difference Equations

inferredcites →https://doi.org/10.2307/1911222openalex-extracted

Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation

inferredcites →https://doi.org/10.2307/1911521openalex-extracted

Testing For Unit Roots: 1

inferredcites →https://doi.org/10.2307/1912061openalex-extracted

Heteroscedasticity in Models with Lagged Dependent Variables

inferredcites →https://doi.org/10.2307/1912934openalex-extracted

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

inferredcites →https://doi.org/10.2307/1913237openalex-extracted

Time Series Regression with a Unit Root

inferredcites →https://doi.org/10.2307/1913610openalex-extracted

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

inferredcites →https://doi.org/10.2307/2171723openalex-extracted

Regression with Nonstationary Volatility

inferredcites →https://doi.org/10.2307/2347232openalex-extracted

Changes of Variance in First-Order Autoregressive Time Series Models-With an Application

inferredcites →https://doi.org/10.2307/2554258openalex-extracted

Asymptotic Theory for Econometricians.

inferredcites →https://doi.org/10.2307/2938229openalex-extracted

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

inferredcites →https://doi.org/10.2307/2938370openalex-extracted

Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models

inferredcites →https://doi.org/10.2307/2951575openalex-extracted

Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

inferredcites →https://doi.org/10.3386/t0055openalex-extracted

A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1016/j.econlet.2009.10.008openalex-snapshot

Unbounded heteroscedasticity in first-order autoregressive models and the Eicker–White asymptotic variance estimator

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