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On Adaptive Estimation In Autoregressive Models When There Are Nuisance Functions

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  • Kreiss Jens-Peter

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Suggested Citation

  • Kreiss Jens-Peter, 1987. "On Adaptive Estimation In Autoregressive Models When There Are Nuisance Functions," Statistics & Risk Modeling, De Gruyter, vol. 5(1-2), pages 59-76, February.
    • Handle: RePEc:bpj:strimo:v:5:y:1987:i:1-2:p:59-76:n:12
    DOI: 10.1524/strm.1987.5.12.59
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    Cited by:

    1. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    2. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
    3. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
    4. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
    5. Anton Schick, 1999. "Efficient Estimation in a Semiparametric Autoregressive Model," Statistical Inference for Stochastic Processes, Springer, vol. 2(1), pages 69-98, January.
    6. Werker, Bas J M & Andreou, Elena, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.

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