Second-Order Least Squares Estimation in Nonlinear Time Series Models with ARCH Errors
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Cited by:
- Alexander Mayer, 2022. "Two-step estimation in linear regressions with adaptive learning," Papers 2204.05298, arXiv.org, revised Nov 2022.
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Keywords
nonlinear dynamic model; ARCH error; mixing process; mean nonstationarity; second order least squares; semiparametric efficiency; econometric modeling; financial time series;All these keywords.
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