Adaptive estimation of autoregressive models with time-varying variances

Journal of Econometrics

Volumn 142, Issue 1, 2008, Pages 265-280

  Xu, Ke Li ^a   Phillips, Peter C B ^b  

^a UNIVERSITY OF ALBERTA   (Canada)

^b YALE UNIVERSITY   (United States)

Author keywords

Adaptive estimation; Autoregression; Heterogeneity; Nonstationary volatility; Weighted regression

Indexed keywords

COMPUTER SIMULATION; ERROR ANALYSIS; FUNCTION EVALUATION; MATHEMATICAL MODELS; TIME VARYING SYSTEMS;

ADAPTIVE ESTIMATION; HETEROGENEITY; KERNEL-BASED ESTIMATORS; NONSTATIONARY VOLATILITY; WEIGHTED REGRESSION;

REGRESSION ANALYSIS;

EID: 36148960826     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.06.001     Document Type: Article

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