Nonstationary Distribution Theory

BOOK CHAPTER published 28 December 2012 in Econometric Modelling with Time Series

THE DISTRIBUTION OF NONSTATIONARY AUTOREGRESSIVE PROCESSES UNDER GENERAL NOISE CONDITIONS

JOURNAL ARTICLE published May 1993 in Journal of Time Series Analysis

Authors: James C. Spall

Robust Estimation in Vector Autoregressive Moving‐Average Models

JOURNAL ARTICLE published July 1999 in Journal of Time Series Analysis

Authors: Marta Garcia Ben | Elena J. Martinez | Victor J. Yohai

Functional Generalized Autoregressive Conditional Heteroskedasticity

JOURNAL ARTICLE published January 2017 in Journal of Time Series Analysis

Research funded by National Science Foundation (DMS 1209226,DMS 1305858,DMS 1407530.)

Authors: Alexander Aue | Lajos Horváth | Daniel F. Pellatt

4 The estimation procedure 39

BOOK CHAPTER published in Statistical Inference in Multifractal Random Walk Models for Financial Time Series

THE RANDOM COEFFICIENT MODEL

BOOK CHAPTER published 1989 in Pooled Time Series Analysis

DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN NONSTATIONARY AUTOREGRESSIVE PROCESSES

JOURNAL ARTICLE published January 1996 in Journal of Time Series Analysis

Authors: Dong Wan Shin | Jong Hyup Lee

The Limiting Distribution of the Residual Processes in Nonstationary Autoregressive Processes

JOURNAL ARTICLE published November 1998 in Journal of Time Series Analysis

Authors: Dong Wan Shin

The application of the Kalman filter to nonstationary time series through time deformation

JOURNAL ARTICLE published September 2009 in Journal of Time Series Analysis

Authors: Zhu Wang | Wayne A. Woodward | Henry L. Gray

Estimation of Vector Autoregressive Models

BOOK CHAPTER published 2016 in Springer Texts in Business and Economics

Authors: Klaus Neusser

First‐order rounded integer‐valued autoregressive (RINAR(1)) process

JOURNAL ARTICLE published July 2009 in Journal of Time Series Analysis

Authors: M. Kachour | J. F. Yao

Threshold quantile autoregressive models

JOURNAL ARTICLE published May 2011 in Journal of Time Series Analysis

Authors: Antonio F. Galvao Jr. | Gabriel Montes-Rojas | Jose Olmo

A study on misspecified nonstationary autoregressive time series with a unit root

JOURNAL ARTICLE published September 1997 in Journal of Time Series Analysis

Authors: Dong Wan Shin | Yoon Dong Lee

Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models

JOURNAL ARTICLE published 14 November 2012 in Journal of Time Series Econometrics

Authors: Gareth D. Liu-Evans | Garry D. A. Phillips

CORRECTION TO “THE DISTRIBUTION OF NONSTATIONARY AUTOREGRESSIVE PROCESSES UNDER GENERAL NOISE CONDITIONS,”

JOURNAL ARTICLE published September 1993 in Journal of Time Series Analysis

Authors: J. C. Spall

Autoregressive processes with data‐driven regime switching

JOURNAL ARTICLE published September 2009 in Journal of Time Series Analysis

Authors: Joseph Tadjuidje Kamgaing | Hernando Ombao | Richard A. Davis

Autoregressive Moving Average Models

BOOK CHAPTER published 2015 in Introduction to Time Series Analysis

Vector Autoregressive and Vector Error Correction Models

BOOK CHAPTER published 2 August 2004 in Applied Time Series Econometrics

Authors: Helmut Lütkepohl

Median‐unbiased Estimation and Exact Inference Methods for First‐order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form

JOURNAL ARTICLE published January 2006 in Journal of Time Series Analysis

Authors: Richard Luger

On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models

JOURNAL ARTICLE published November 2020 in Journal of Time Series Analysis

Research funded by NSFC (71973077,11771239)

Authors: Huan Gong | Dong Li