Consistent and asymptotically normal estimators for cyclically time-dependent linear models
Author
Abstract
Suggested Citation
DOI: 10.1007/BF02530484
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Gourieroux,Christian & Monfort,Alain, 1995.
"Statistics and Econometric Models,"
Cambridge Books,
Cambridge University Press, number 9780521471626, January.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477451, January.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477444, January.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521405515, January.
- I. V. Basawa & Robert Lund, 2001. "Large Sample Properties of Parameter Estimates for Periodic ARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(6), pages 651-663, November.
- Marc Hallin, 1986. "Nonstationary q-dependent processes and time-varying moving average models: invertibility properties and the forecasting problem," ULB Institutional Repository 2013/2005, ULB -- Universite Libre de Bruxelles.
- Kowalski, Aleksander & Szynal, Dominik, 1991. "On a characterization of optimal predictors for nonstationary ARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 37(1), pages 71-80, February.
- Mohamed Bentarzi & Marc Hallin, 1994.
"On The Invertibility Of Periodic Moving‐Average Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 15(3), pages 263-268, May.
- Marc Hallin & Mohamed Bentarzi, 1994. "On the invertibility of periodic moving-average models," ULB Institutional Repository 2013/2047, ULB -- Universite Libre de Bruxelles.
- Dag Tjøstheim & Jostein Paulsen, 1985. "Least Squares Estimates And Order Determination Procedures For Autoregressive Processes With A Time Dependent Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(2), pages 117-133, March.
- Robert Lund & I. V. Basawa, 2000. "Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(1), pages 75-93, January.
- G. J. Adams & G. C. Goodwin, 1995. "Parameter Estimation For Periodic Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(2), pages 127-145, March.
- Singh, N. & Peiris, M. Shelton, 1987. "A note on the properties of some nonstationary ARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 24(1), pages 151-155, February.
- D. Dehay & V. Monsan, 1996. "Random Sampling Estimation For Almost Periodically Correlated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(5), pages 425-445, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Rajae Azrak & Guy Melard, 2017. "Autoregressive Models with Time-dependent Coefficients. A comparison between Several Approaches," Working Papers ECARES ECARES 2017-48, ULB -- Universite Libre de Bruxelles.
- Abdelkamel Alj & Christophe Ley & Guy Melard, 2015. "Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I," Working Papers ECARES ECARES 2015-21, ULB -- Universite Libre de Bruxelles.
- Abdelkamel Alj & Rajae Azrak & Christophe Ley & Guy Mélard, 2017. "Asymptotic Properties of QML Estimators for VARMA Models with Time-dependent Coefficients," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(3), pages 617-635, September.
- Bibi, Abdelouahab & Lescheb, Ines, 2010. "Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models," Statistics & Probability Letters, Elsevier, vol. 80(19-20), pages 1532-1542, October.
- Rajae Azrak & Guy Mélard, 2022. "Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches," Stats, MDPI, vol. 5(3), pages 1-21, August.
- Abdelouahab Bibi & Ahmed Ghezal, 2016. "On periodic time-varying bilinear processes: structure and asymptotic inference," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 25(3), pages 395-420, August.
- Francq, Christian & Gautier, Antony, 2004. "Estimation of time-varying ARMA models with Markovian changes in regime," Statistics & Probability Letters, Elsevier, vol. 70(4), pages 243-251, December.
- Yacouba Boubacar Maïnassara & Landy Rabehasaina, 2020. "Estimation of weak ARMA models with regime changes," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 1-52, April.
- Nazim Regnard & Jean‐Michel Zakoïan, 2010. "Structure and estimation of a class of nonstationary yet nonexplosive GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 348-364, September.
- Regnard, Nazim & Zakoïan, Jean-Michel, 2011.
"A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices,"
Energy Economics, Elsevier, vol. 33(6), pages 1240-1251.
- Regnard, Nazim & Zakoian, Jean-Michel, 2010. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," MPRA Paper 22642, University Library of Munich, Germany.
- Triantafyllopoulos, K. & Nason, G.P., 2007. "A Bayesian analysis of moving average processes with time-varying parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1025-1046, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Abdelkamel Alj & Christophe Ley & Guy Melard, 2015. "Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I," Working Papers ECARES ECARES 2015-21, ULB -- Universite Libre de Bruxelles.
- Aleksandra Grzesiek & Prashant Giri & S. Sundar & Agnieszka WyŁomańska, 2020. "Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 785-807, November.
- Karanasos, Menelaos & Paraskevopoulos,Alexandros & Canepa, Alessandra, 2020. "Unified Theory for the Large Family of Time Varying Models with Arma Representations: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202008, University of Turin.
- Hurd, H. & Makagon, A. & Miamee, A. G., 0. "On AR(1) models with periodic and almost periodic coefficients," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 167-185, July.
- Anderson, Paul L. & Kavalieris, Laimonis & Meerschaert, Mark M., 2008. "Innovations algorithm asymptotics for periodically stationary time series with heavy tails," Journal of Multivariate Analysis, Elsevier, vol. 99(1), pages 94-116, January.
- Amaal Elsayed Mubarak & Ehab Mohamed Almetwally, 2024. "Modelling and Forecasting of Covid-19 Using Periodical ARIMA Models," Annals of Data Science, Springer, vol. 11(4), pages 1483-1502, August.
- Yorghos Tripodis & Jeremy Penzer, 2009. "Modelling time series with season-dependent autocorrelation structure," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 559-574.
- Amaral, Luiz Felipe & Souza, Reinaldo Castro & Stevenson, Maxwell, 2008. "A smooth transition periodic autoregressive (STPAR) model for short-term load forecasting," International Journal of Forecasting, Elsevier, vol. 24(4), pages 603-615.
- Bentarzi, Mohamed, 1998. "Model-Building Problem of Periodically Correlatedm-Variate Moving Average Processes," Journal of Multivariate Analysis, Elsevier, vol. 66(1), pages 1-21, July.
- Christian Francq & Roch Roy & Abdessamad Saidi, 2011.
"Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
- Francq, Christian & Roy, Roch & Saidi, Abdessamad, 2011. "Asymptotic properties of weighted least squares estimation in weak parma models," MPRA Paper 28721, University Library of Munich, Germany.
- T. Manouchehri & A. R. Nematollahi, 2019. "Periodic autoregressive models with closed skew-normal innovations," Computational Statistics, Springer, vol. 34(3), pages 1183-1213, September.
- Shao, Q. & Ni, P.P., 2004. "Least-squares estimation and ANOVA for periodic autoregressive time series," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 287-297, September.
- Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
- Qin Shao & Robert Lund, 2004. "Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 359-372, May.
- Caporin, Massimiliano & Preś, Juliusz, 2012.
"Modelling and forecasting wind speed intensity for weather risk management,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.
- Massimiliano Caporin & Juliusz Pres, 2010. "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers 0106, Dipartimento di Scienze Economiche "Marco Fanno".
- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007.
"Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices,"
Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute.
- Basawa, I. V. & Lund, Robert & Shao, Qin, 2004. "First-order seasonal autoregressive processes with periodically varying parameters," Statistics & Probability Letters, Elsevier, vol. 67(4), pages 299-306, May.
- Roy, Roch & Saidi, Abdessamad, 2008. "Aggregation and systematic sampling of periodic ARMA processes," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4287-4304, May.
- Jiajie Kong & Robert Lund, 2023. "Seasonal count time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 93-124, January.
- Bo E. Honoré & Luojia Hu, 2023.
"The COVID-19 pandemic and Asian American employment,"
Empirical Economics, Springer, vol. 64(5), pages 2053-2083, May.
- Bo E. Honore & Luojia Hu, 2020. "The COVID-19 Pandemic and Asian American Employment," Working Paper Series WP-2020-19, Federal Reserve Bank of Chicago, revised 01 Jul 2021.
- Bo E. Honoré & Luojia Hu, 2021. "The Covid-19 Pandemic and Asian American Employment," Working Papers 2021-71, Princeton University. Economics Department..
More about this item
Keywords
Time varying models; nonstationary processes; quasi-generalized least squares estimator; consistency; asymptotic normality;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:55:y:2003:i:1:p:41-68. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.