Linear double autoregression
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DOI: 10.1016/j.jeconom.2018.05.006
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Cited by:
- Guo, Shaojun & Li, Dong & Li, Muyi, 2019. "Strict stationarity testing and GLAD estimation of double autoregressive models," Journal of Econometrics, Elsevier, vol. 211(2), pages 319-337.
- Kai Yang & Qingqing Zhang & Xinyang Yu & Xiaogang Dong, 2023. "Bayesian inference for a mixture double autoregressive model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(2), pages 188-207, May.
- Songhua Tan & Qianqian Zhu, 2022. "Asymmetric linear double autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 371-388, May.
- Huan Gong & Dong Li, 2020. "On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 883-891, November.
- Mohit Garg & Suneel Sarswat, 2022. "The Design and Regulation of Exchanges: A Formal Approach," Papers 2210.05447, arXiv.org.
- Li, Dong & Tao, Yuxin & Yang, Yaxing & Zhang, Rongmao, 2023. "Maximum likelihood estimation for α-stable double autoregressive models," Journal of Econometrics, Elsevier, vol. 236(1).
- Guo, Shaojun & Li, Dong & Li, Muyi, 2018. "Strict Stationarity Testing and GLAD Estimation of Double Autoregressive Models," IRTG 1792 Discussion Papers 2018-049, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Zhang, Wenjie & Quan, Hao & Srinivasan, Dipti, 2018. "Parallel and reliable probabilistic load forecasting via quantile regression forest and quantile determination," Energy, Elsevier, vol. 160(C), pages 810-819.
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More about this item
Keywords
Conditional quantile estimation; Goodness-of-fit test; Heavy tail; Nonlinear time series model; Stationary solution;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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