Density estimation for nonlinear parametric models with conditional heteroscedasticity

Journal of Econometrics

Volumn 155, Issue 1, 2010, Pages 71-82

  Zhao, Zhibiao ^a  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

Author keywords

Bahadur representation; Conditional heteroscedasticity; Density estimation; Fisher information; Nonlinear time series; Nonparametric kernel density; Stationary density; Stochastic regression

Indexed keywords

BAHADUR REPRESENTATION; DENSITY ESTIMATION; FISHER INFORMATION; HETEROSCEDASTICITY; KERNEL DENSITY; NON-PARAMETRIC; NONLINEAR TIME SERIES;

FISHER INFORMATION MATRIX; MAXIMUM LIKELIHOOD ESTIMATION; PARAMETER ESTIMATION; STOCHASTIC SYSTEMS; TIME SERIES;

NONLINEAR ANALYSIS;

EID: 75149116530     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.09.013     Document Type: Article

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